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Living on low-incomes with multiple long-term health conditions: A new method to explore the complex interaction between finance and health. [PDF]
Biosca O +8 more
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Weighted Signed Networks Reveal Interactions between US Foreign Exchange Rates. [PDF]
Yang L, Wang H, Gu C, Yang H.
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Optimal mortgage loan securitization and the subprime crisis
Optimization Letters, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
J Mukuddem-Petersen +2 more
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Understanding the Subprime Mortgage Crisis [PDF]
Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it.
Yuliya Demyanyk, Otto Van Hemert
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An Appetite for Yield: The Anatomy of the Subprime Mortgage Crisis [PDF]
Whereas policy makers and industry advocates have hailed the growth of the subprime mortgage market in the US as evidence that financial innovation can more efficiently price and absorb credit risk, the 2007 mortgage crisis provides an opportunity to revisit the nature of financial risk.
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2011
A subprime mortgage loan is a residential mortgage loan that is particularly risky for some reason. The elevated risk may stem from the credit history of the borrower, the lack of a large down payment, or a monthly payment that is large relative to the borrower’s income (see Chapter 2 of Muolo and Padilla (2010) for a history of subprime residential ...
Christopher L. Foote, Paul S. Willen
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A subprime mortgage loan is a residential mortgage loan that is particularly risky for some reason. The elevated risk may stem from the credit history of the borrower, the lack of a large down payment, or a monthly payment that is large relative to the borrower’s income (see Chapter 2 of Muolo and Padilla (2010) for a history of subprime residential ...
Christopher L. Foote, Paul S. Willen
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CEO Behavior and Subprime Mortgage Crisis [PDF]
The paper addresses the subprime mortgage crisis from the perspective of the CEO of a financial firm. We integrate agency theory with the asset-pricing model to explore factors affecting CEO risk aversion. Apart from wealth and effort, the two main factors in influencing the agent’s risk preference, we also add a measure of CEO career concern to the ...
Guangdi Chang, Fulwood Chen
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Model Stability and the Subprime Mortgage Crisis
The Journal of Real Estate Finance and Economics, 2010We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time.
An, X. +3 more
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Securitization and the subprime mortgage crisis
Journal of Post Keynesian Economics, 2013Since the outbreak of the subprime mortgage crisis, the benefits of securitization have started to be questioned. Originally, securitization was meant to improve the efficiency of capital markets by reducing risks through risk tiering and geographic diversification. It has also been considered to have contributed to a reduction in transaction costs and
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Originate-to-Distribute Model and the Subprime Mortgage Crisis
SSRN Electronic Journal, 2010An originate-to-distribute (OTD) model of lending, where the originator of a loan sells it to various third parties, was a popular method of mortgage lending before the onset of the subprime mortgage crisis. We show that banks with high involvement in the OTD market during the pre-crisis period originated excessively poor quality mortgages. This result
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