soft information in mortgage securitization can impose a substantial cost on mortgage servicing, which raises important …Tracking a sample of modified loans underlying private-label mortgage-backed securities, I compare the modification …

We assess the information content of three credit ratings for tranches of newly issued European residential mortgage …

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

This paper examines the relationship between mortgage originator loss exposure (i.e., risk retention) and the ex post … performance and initial structure and pricing of mortgage-backed securities (MBS). We argue that originator risk retention varies … of AAA-rated securities issued against the mortgage pool is higher for affiliated deals …

residential mortgage-backed securities (RMBS) in the U.K. There is an important implication of our findings for the current debate …

We develop a framework to explore the effect of credit ratings on loan origination and securitization. In the model …

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

Some homeowners might intentionally skip mortgage payments that they can afford to be eligible for mortgage … modification programs, such as Home Affordable Mortgage Program (HAMP). We use a natural experiment to investigate such strategic …

strategically as their home value falls below the mortgage value (exercise the put option to default on their first mortgage). While … current but stand behind a seriously delinquent first mortgage, are subject to a high risk of default. On the other hand … that the various mortgage loss mitigation programs also play a role in providing incentives for homeowners to default on …

The sharp fall of property prices after the Asian financial crisis has led many residential mortgage holders in Hong … probability of default on mortgage loans, which is an important issue in view of the fact that residential mortgage lending …) as a major determinant for mortgage default decisions. It also finds that the default probability is positively …