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Mortgage-backed securities
This paper reviews the mortgage-backed securities (MBS) market, with a particular
emphasis on agency residential MBS in the United States. We discuss the institutional …
emphasis on agency residential MBS in the United States. We discuss the institutional …
Mortgage-backed securities
Mortgage-backed securities are bonds with cash flows tied to the principal and interest
payments on a pool of underlying mortgages. Mortgage securitization has a long history (eg …
payments on a pool of underlying mortgages. Mortgage securitization has a long history (eg …
Defragmenting markets: Evidence from agency MBS
Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have
historically traded in separate forward markets. We study the consequences of this …
historically traded in separate forward markets. We study the consequences of this …
15. Mortgage-backed securities1
The mortgage-backed securities (MBS) market emerged as a way to decouple mortgage
lending from mortgage investing. Until the 1980s, nearly all US mortgages were held on …
lending from mortgage investing. Until the 1980s, nearly all US mortgages were held on …
Small Mortgages and the Rise of FinTech and Shadow Banks
The growth of FinTech and shadow banks could have unexpected spillover effects on bank
lending. We study this possibility in the context of small mortgages, which are low balance …
lending. We study this possibility in the context of small mortgages, which are low balance …
Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications
Y Huh, YS Kim - Journal of Financial Economics, 2023 - Elsevier
We study optimal securitization in the agency mortgage-backed securities (MBS) market.
Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces …
Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces …
Skin in the Game and Credible Signaling in Securitization: Are Fintechs Different?
This study explores the association between risk retention by originators (skin in the game)
and the performance of securitized assets. We combine hand-collected and publicly …
and the performance of securitized assets. We combine hand-collected and publicly …