Understanding the Securitization of Subprime Mortgage Credit
نویسندگان
چکیده
منابع مشابه
House Prices and Subprime Mortgage
The recent sharp increase in subprime mortgage delinquencies has captured the public spotlight and led analysts to search for the factors that are likely to have contributed to the problem.These factors commonly include the lack of income documentation, high loan-to-income ratios, the lowering of credit standards, and the resets on adjustable-rate loans, to name but a few. Although these factor...
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The securitization of subprime mortgages in instruments like mortgage-backed securities and collateralized debt obligations is one of the key ingredients to the current financial crisis. During 2007 and 2008, subprime defaults increased sharply, displaying high serial correlation in their arrival. Subprime default events depend on house price changes. We establish a link between the dynamics of...
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In this article, I survey the state of the mortgage loan transfer system, the legal rules that govern it, and the widening gap between those rules and the practices in the secondary mortgage market just prior to the 2008 crisis. The review includes some empirical assessment of the extent of errors and execution problems; the damage done by "robo-signing;" the Mortgage Electronic Registration Sy...
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ABX.HE indexed credit default swaps on baskets of mortgage-backed securities are now the main benchmark used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that current prices for the ABX.HE indices are inconsistent with any reasonable assumption for mortgage default rates, and that ABX.HE price changes are only very weakly correlated with obser...
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We develop a Systems Dynamics model for capturing the key interactions involved in the evolution of the subprime mortgage crisis. In particular, we propose an aggregate modeling resolution that involves three main sub-systems, namely, an aggregate banking system, an aggregate housing market and an economic environment. The model exposes the physics of each individual system as well as influence...
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ژورنال
عنوان ژورنال: Foundations and Trends® in Finance
سال: 2006
ISSN: 1567-2395,1567-2409
DOI: 10.1561/0500000024