This article surveys the effects of technology on mortgage finance during the 1990 to 2000
period, focusing on the individual firm. Innovations in the three functional areas of …

The definitive guide to fixed-come securities-revised to reflect today's dynamic financial
environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook …

Using a vector autoregressive model with monthly data from 1988 through 2001, this study
investigates the factors that drive the excess returns on a widely followed mortgage‐backed …

Prepayment penalties are ubiquitous in the commercial mortgage market yet reviled and
highly restricted by law and regulation in the residential mortgage market. Considering the …

Asset-backed securitization (ABS) is a highly flexible yet complex refinancing technique that
involves the issuance of contingent claims with varying seniority on the cash flow …

The recent financial crisis was triggered by large and unexpected losses on mortgages and
mortgage‐related securities. Here we examine model risk arising from innovations in …

Traditionally, the MBS and Treasury markets have been intertwined so closely that hedging
of mortgage portfolios could have been done solely by Treasury derivatives. With the credit …

Two features characterize Canada's postal system: a government-owned monopoly on a
defined portion of the letter mail market, and a universal service obligation. The monopoly …

Ziel dieser Präsentation (anlässlich des Seminars „Die Auswirkungen von Asset
Securitisation auf die Stabilität des Finanzmarktes “Österreichische Nationalbank (ÖNB) …

We examine the effect of parameter instability on the valuation of mortgages and mortgage-
backed securities. In particular, we price 1997 issue mortgages subject to the 1998 bond …