Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various...

Over the years 2000 through 2007, mortgage market underwriting conditions eased in response to public policy demands for increased homeownership. This easing of acceptable credit risk in order to accommodate increased access to credit, when coupled with the unanticipated house price declines...

The recent financial turmoil has triggered a credit crunch whereby illiquid, but not necessarily insolvent, banks were not able to borrow money and were forced to be liquidated, bought or bailed out. A response to this problem has been contingent convertible bonds (or CoCo bonds), which are...