This study advances the mortgage insurance pricing literature by providing theory and methods for incorporating both … loan-to-value and debt service ratios to the pricing process of Mortgage Insurance (MI). Specifically, the MI is regarded … framework, we also derive three types of MI contracts designed for different purposes: full MI can compensate mortgage lenders …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …