This paper provides an inductive theoretical framework that explains how and why vertical
disintegration happens, showing that transaction costs are an incidental feature of industry …

Loan-to-value ratio and debt service coverage ratios have long been viewed as the two most
important quantitative measures of the default risk of commercial mortgages. Option-based …

This paper analyzes the investment characteristics of mortgage loans made to low-and
moderate-income households. We combine loan level and borrower data provided by a …

Mortgage-backed securities (MBS) are structured financial products that are produced via
securitization of mortgage loans. Due to the nature of securitization, all risks of mortgage …

Large, interacting stochastic systems appear in many facets of today's world and are of
broad importance. Examples include the banking system, financial markets, electric power …

The objective of this dissertation is to develop an option model for residential mortgages and
Mortgage-Backed Securities. Previous studies in the literature have identified several …

This dissertation consists of two essays on commercial mortgage-backed securities (CMBS).
The first essay examines the initial pricing of CMBS using a current and comprehensive …