منابع مشابه
Securitization Networks and Endogenous Financial Norms in U.S. Mortgage Markets∗†
We develop a theoretical model of a network of intermediaries, which we apply to the U.S. mortgage market. In our model, heterogeneous financial norms and systemic vulnerabilities arise endogenously. Intuitively, the optimal behavior of each intermediary, in terms of its attitude toward risk, the quality of the projects that it undertakes, and the intermediaries it chooses to interact with, is ...
متن کاملValuing Individual Mortgage Servicing Contracts: A Comparison between Adjustable Rate Mortgages and Fixed Rate Mortgages
This study constructs a valuation model from which an option-adjusted spread approach is employed to value individual mortgage servicing contracts for both adjustable rate and fixed rate mortgages. The valuation model is comprised of an exogenous OTS prepayment model, a stochastic interest rate process, and other servicing fees and costs, all of which jointly determine the servicing contract’s ...
متن کاملA Discussion on Development of China’s Housing Mortgage-backed Securitization and American Experiences
China’s real estate market develops fast. And the demand for housing mortgage is increasing at the same time. However, because of its long period and poor liquidity, the increasing personal housing mortgage will inevitably add more risks for commercial banks in their asset-debt management. It is a must to apply the housing mortgage-backed securitization. This paper discusses the development of ...
متن کاملComputing the Endogenous Mortgage Rate without Iterations
A number of mortgage prepayment models require a specification of the mortgage rate process. Usually some ad-hoc models are used (e.g., a Treasury yield plus some constant). Recently, a number of papers appeared where authors utilized a mortgage rate implied by the current yield curve (so called endogenous mortgage rate). However, the existing computational algorithms suffer from the curse of d...
متن کاملSecuritization and Loan Performance: A Contrast of Ex Ante and Ex Post Relations in the Mortgage Market1
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 applies lower screening efforts on loans that have higher ex ante probability of being securitized, it further shows that loans remaining on the bank’s balanc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2014
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhu060