This paper is designed to illustrate the limitations and potential bias in securitized residential mortgage data and examine the importance of such data issues for typical studies of RMBS market and the financial crisis. We use trustee data on mortgage characteristics provided by BlackBox Logic...

Poor-quality mortgage appraisals are thought to have played a role in real estate market downturns from the 1980s to the 2000s. Prior research measuring appraisal quality based upon ex post audits of individual appraisals, however, have been limited to small samples of limited power and...

We develop a theoretical model quantifying how firm-level pandemic exposure and sentiment, as informational shocks, affect a firm’s credit spread and default risk. Consistent with model predictions, we find significantly positive impacts on single-name credit default swap (CDS) spreads from...

This article reviews structural credit risk models. Special emphasis is on the distinction between endogenous default versus exogenous default and the economic implications of the different assumptions. It is argued that models with endogenous default provide more insight into the default...