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Credit Models and the Crisis, or : How I Learned to Stop Worrying and Love the CDOs

Brigo, Damiano - 2010

We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all...

Persistent link: https://www.econbiz.de/10013149591

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

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 environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Persistent link: https://www.econbiz.de/10013168786

Crisis liquidity facilities with nonbank counterparties : lessons from the term Asset-Backed Securities Loan Facility

Meisenzahl, Ralf R.; Pence, Karen M. - 2022

of assets, and internalizing credit risk rather than shifting it to the government. As the program terms were the same …

Persistent link: https://www.econbiz.de/10013175070

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities

Dungey, Mardi H. - 2014

The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007 …

Persistent link: https://www.econbiz.de/10013067439

Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets

Mitchell, Janet - 2010

characteristics of pooling of financial assets, delinking of the credit risk of the asset pool from the credit risk of the originating …

Persistent link: https://www.econbiz.de/10013137214

Default Risk of CMBS Loans : What Explains the Regional Variations?

An, Xudong - 2010

loans. We seek to explain those variations with well documented risk factors such as negative equity, insolvency, property … risk and they help explain part of the regional variations in CMBS loan default rate. We also find a significant negative … appreciation rates have lower default risk in CMBS loans. Moreover, differences in MSA-level residential real estate appreciation …

Persistent link: https://www.econbiz.de/10013138457

Crisis Liquidity Facilities with Nonbank Counterparties : Lessons from the Term Asset-Backed Securities Loan Facility

Meisenzahl, Ralf; Pence, Karen M. - 2022

of assets, and internalizing credit risk rather than shifting it to the government. As the program terms were the same …

Persistent link: https://www.econbiz.de/10013291452

Crisis Liquidity Facilities with Nonbank Counterparties : Lessons from the Term Asset-Backed Securities Loan Facility

Meisenzahl, Ralf; Pence, Karen M. - 2022

liquidity to a wide range of assets, and having borrowers internalize credit risk rather than shift it to the government …

Persistent link: https://www.econbiz.de/10013291550

A Benchmark for Collateralized Loan Obligations

Elkamhi, Redouane; Li, Ruicong; Nozawa, Yoshio - 2021

of the systematic risk of correlated loan defaults …

Persistent link: https://www.econbiz.de/10013251586

Toxic asset subsidies and the early redemption of talf loans

Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...

Persistent link: https://www.econbiz.de/10013252762