misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …

are incorporated into the proposed model. First, default is a Poisson jump process defined as a function of mortgage …

are incorporated into the proposed model. First, default is a Poisson jump process defined by a function of mortgage …

Subordination is designed to provide credit risk protection for senior commercial mortgage-backed securities (CMBS …

mortgage-backed securities. It concludes that credit rating agencies were the primary reason for this deterioration.In reaching …, this paper explains the mortgage-securitization process and why current regulations failed to encourage accurate credit …

We study the key drivers of security design in the residential mortgage-backed security (RMBS) market during the run …-up to the subprime mortgage crisis. We show that deals with a higher level of equity tranche have a significantly lower …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest …