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An empirical test of a two-factor mortgage valuation model : how much do house prices matter?

Downing, Chris; Stanton, Richard; Wallace, Nancy E. - 2003

Persistent link: https://www.econbiz.de/10001787404

Commercial mortgage-backed securities : prepayment and default

Ambrose, Brent William; Sanders, Anthony B. - In: The journal of real estate finance and economics 26 (2003) 2/3, pp. 179-196

Persistent link: https://www.econbiz.de/10001763242

CMBS loan defaults

Corcoran, Patrick J.; Iwai, Yuriko - In: The journal of fixed income 12 (2002) 3, pp. 52-59

Persistent link: https://www.econbiz.de/10001763888

Defaults and losses given default of structured finance securities

Hu, Jian; Cantor, Richard - In: The journal of fixed income 13 (2004) 4, pp. 5-24

Persistent link: https://www.econbiz.de/10002029941

Default Risk of CMBS Loans : What Explains the Regional Variations?

An, Xudong - 2010

We find substantial regional variations in CMBS loan default rates based on a 10-year history of nearly 38,000 CMBS loans. We seek to explain those variations with well documented risk factors such as negative equity, insolvency, property type, originator and state foreclosure law, as well as...

Persistent link: https://www.econbiz.de/10013138457

How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility

Duygan-Bump, Burcu - 2012

vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers to financial markets. The … Federal Reserve's response to financial disruptions in the United States importantly included creating liquidity facilities … interventions — the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. Our findings indicate that this …

Persistent link: https://www.econbiz.de/10013116163

Default Clustering and Credit Risks in Commercial Mortgage-Backed Securities

Fan, Gang-Zhi - 2011

This paper proposes an intensity-based pricing model with default dependence structure for CMBS bonds. Three features are incorporated into the proposed model. First, default is a Poisson jump process defined as a function of mortgage rating information in the model. Second, underlying property...

Persistent link: https://www.econbiz.de/10013125124

The Price Effects of Fannie Mae's Liquidity Provision Activities within the Secondary Market for Mortgage Backed Securities

Obrimah, Oghenovo A. - 2014

backed securities (MBS) to act as liquidity providers within secondary mortgage markets is beneficial for MBS prices and … dealers' transaction costs. I also demonstrate that the price effects of a charter that allows liquidity provision activities … charter that confers a financing advantage on an MBS guarantor, but restricts liquidity provision activities (Ginnie Mae …

Persistent link: https://www.econbiz.de/10013066633

Measuring the Perceived Liquidity of the Corporate Bond Market

Chernenko, Sergey - 2020

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …

Persistent link: https://www.econbiz.de/10012836050

The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles

Benmelech, Efraim - 2016

This paper shows that illiquidity in short-term credit markets during the financial crisis may have sharply curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we show that the...

Persistent link: https://www.econbiz.de/10013005785