Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Norway’s near-term macroeconomic priority is to reduce risks arising from high-household debt by tightening macroprudential standards for mortgage lending while undertaking tax reforms to gradually reduce incentives for excessive leverage. Creating a stronger institutional framework for...

The financial crisis showed, once again, that neglecting real estate booms can have disastrous consequences. In this paper, we spell out the circumstances under which a more active policy agenda on this front would be justified. Then, we offer tentative insights on the pros and cons as well as...

Purpose – This paper aims to examine the anatomy of a real estate bubble. In the process, the paper identifies three phases of the market's evolution: flips, flops and foreclosures. An examination of the Las Vegas real estate market illustrates the three phases. Design/methodology/approach –...

Purpose – This paper seeks to examine the role that regulation and regulatory agencies played in the creating of the subprime mortgage market, and the subsequent crash of the mortgage market. The paper has two goals. First, it seeks to document the degree to which the US housing markets, and...

We show that the lightly regulated non-bank mortgage originators contributed disproportionately to the recent boom-bust housing cycle. Using comprehensive data on mortgage originations, which we aggregate at the county level, we first establish that the market share of these independent non-bank...

After a number of warning signs, the U.S. "subprime mortgage crisis" became a headline issue in February 2007. Notwithstanding the bankruptcy of numerous mortgage companies, historically high delinquencies and foreclosures, and a significant tightening in subprime lending standards, the impact...

Purpose – The purpose of this paper is to provide a practitioner's guide to mortgage regulation. Design/methodology/approach – The paper explores the mortgage code and the road to statutory regulation. Findings – It was found that the future of mortgage regulation rests partly with those...