The abnormally high mortgage default rates that became apparent in early 2007 were not foreseen in June 2005, when … mortgage production in the US reached its peak. Could the significant increase in mortgage defaults that triggered the … resultant subprime crisis, have been predicted? This paper develops a mortgage-level predictive model for mortgage default and …

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 …