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Commercial mortgage default and refinancing risk : a primer

Corcoran, Patrick J. - In: The journal of portfolio management : a publication of … 36 (2009/10) 5, pp. 70-79

Persistent link: https://www.econbiz.de/10008654018

Estimating default probabilities implicit in commercial mortgage backed securities (CMBS)

Kau, James B.; Keenan, Donald C.; Yildirim, Yildiray - In: The journal of real estate finance and economics 39 (2009) 2, pp. 107-117

Persistent link: https://www.econbiz.de/10003873974

MBS ratings and the mortgage credit boom

Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the … period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage … underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

Persistent link: https://www.econbiz.de/10008657284

The effects of quantitative easing on interest rates : channels and implications for policy

Krishnamurthy, Arvind; Vissing-Jørgensen, Annette - 2011

Persistent link: https://www.econbiz.de/10009378619

Assessing credit risk in the RMBS sector

Mistretta, Suzanne; Davidson, Andrew S. - In: The journal of structured finance 17 (2012) 4, pp. 104-111

Persistent link: https://www.econbiz.de/10009507129

Chasing contractual cash flows

Nicoll, William - In: Pensions : an international journal 16 (2011) 4, pp. 271-276

Persistent link: https://www.econbiz.de/10009546125

Residential Mortgage-backed Securities Mortgage backed

Morkoetter, Stefan; Stebler, Roman; Westerfeld, Simone - 2015

the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage …

Persistent link: https://www.econbiz.de/10011343380

The effects of quantitative easing on interest rates : channels and implications for policy

Krishnamurthy, Arvind; Vissing-Jørgensen, Annette - In: Brookings papers on economic activity : BPEA (2011) 2, pp. 215-287

Persistent link: https://www.econbiz.de/10009659891

nonconforming residential mortgage-backed securities

Kamra, Abhinav; Hayre, Lakhbir; Chiluveru, Sudhir - In: The journal of fixed income 22 (2012) 1, pp. 61-78

Persistent link: https://www.econbiz.de/10009670737

Boom-bust cycles : leveraging, complex securities, and asset prices

Semmler, Willi; Bernard, Lucas - In: Journal of economic behavior & organization : JEBO 81 (2012) 2, pp. 442-465

Persistent link: https://www.econbiz.de/10009626477