Banks can choose to keep loans on balance sheet as private debt or transform them into
public debt via asset securitization. Securitization transfers credit and interest rate risk, …

We contribute to the debate over the reform of the Basel Accord by developing risk-based
capital requirements for mortgage loans held in portfolio by financial intermediaries. Our …

The cause of the “housing bubble” associated with the sharp rise and then drop in home prices
over the period 1998–2008 has been the focus of significant policy and research attention…

The magnitude of the effect of government‐sponsored enterprise purchases on primary
mortgage market rates has been a difficult research question with differing data and competing …

Flooding is the most frequent and costliest natural disaster in the United States, yet most
households are uninsured or underinsured against flood and may incorrectly expect that …

This article surveys the diverse research that examines racial disparities in mortgage lending
markets in the context of the fair housing legislation of recent decades. A review of the …

We model competing risks of mortgage termination where the borrower faces a repeated
choice to continue to pay, refinance the loan, move or default. Most previous empirical work on …

We empirically examine the effect of private and gated streets on housing prices in a well-established
neighborhood of St. Louis, one of the first urban areas in the United States to …

Prepayment estimation is essential in forecasting expected mortgage cash flow patterns.
Accordingly, mortgage and mortgage-backed security prices are highly dependent on …

We empirically examine the effect of appraisal quality on subsequent mortgage loan performance
using data from the high volatility housing market of Alaska in the 1980s. We develop …