Dombrowski, Timothy; Pace, R. Kelley; Narayanan, Rajesh P. - In: Essays in honor of Cheng Hsiao, (pp. 383-411). 2020
Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At...