This study presents an intriguing contrast of the ex ante and ex post relations between mortgage securitization and … loan performance using a comprehensive dataset from a major national mortgage bank. While the paper supports that the bank …

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …

This study presents an intriguing contrast of the ex ante and ex post relations between mortgage securitization and … loan performance using a comprehensive dataset from a major national mortgage lender. While the paper supports that the …

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 …

Limbo loans are defined as delinquent mortgage loans that have not progressed to resolution. We utilize a unique legal … impairment of property rights explains both the likelihood and longevity of delay. We find that the presence of the Mortgage …

We investigate whether the securitization of corporate loans affected banks' lending standards. We find that during the …

Between 2001 and 2007, the complexity of commercial mortgage-backed securities (CMBS) increased substantially. The … median size of commercial mortgage loan pools tripled and the median number of AAA-rated tranches doubled. I examine whether … deal complexity is related to loan performance by analyzing a sample of approximately 40,000 commercial mortgage loans from …

We expand on the standard commercial mortgage default model and create a new model by looking beyond the usual factors …