During the recent financial crisis, ABX.HE index credit default swaps (CDS) on baskets of mortgage-backed securities … became a benchmark used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that … prices for the AAA ABX.HE index CDS during the crisis were inconsistent with any reasonable assumption for mortgage default …

The paper integrates agency theory with the asset-pricing model to explore causes of subprime mortgage crisis regarding …

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 …

The crisis in real estate mortgage lending that erupted in the United States in 2007 shook the foundations of the … American financial system. The crisis was caused in part by mortgage loan originators, who lent improvidently to unqualified … understand and were unable to bear over time. To what extent would this crisis have been preventable had the mortgage loan …

MBS in USA and Germany.The third section “Subprime Mortgage Market” includes articles on the subprime mortgage market …This book focuses on the basics of MBS (mortgage-backed securities) and ABS (asset-backed securities). Book highlights … “Concepts” includes articles on the role of securitization in mortgage lending, asset backed securities, collateralized debt …

This paper contends that an important but under-explored cause of the United States' subprime mortgage crisis is … component of many mortgage transactions …

This article examines the impact of regulation on lending standards during the mortgage boom. We exploit the overall … regulatory wedge between banks and independent mortgage companies (IMCs) and a variation in this regulatory wedge across states … how inconsistent regulation of mortgage lenders has resulted in risky lending being increasingly channeled through the …

This paper assesses the impact of the mortgage crisis on Chelsea, Massachusetts, a low-and moderate income community of …

By the end of 2007, thirty states and the District of Colombia had passed some sort of mortgage regulation statute …, while the remaining states left the mortgage market unregulated. Were these state mortgage laws effective in restraining … risky mortgage lending and mitigating the surge in foreclosures? Our study takes advantage of this natural experiment and …