This research examines whether the fair value of mortgage servicing rights (MSRs) based
on managerial inputs (Level 3) better reflects the cash flow and risk characteristics of the …

Pivotal litigation against the largest subprime mortgage servicer in the United States
provides lessons about the appropriate regulation of mortgage servicing and adds to …

We develop a bivariate binomial model to price Mortgage Servicing Rights (MSRs). Our
model is an improvement over previous MSR pricing models by explicitly incorporating the …

This paper aims to evaluate an inference of bank internal PDs (Default Probabilities) on
subsequent prepayments of variable rate institutional loans. Since variable rate loans hardly …

Assessing an MSR's value is difficult in practice because it involves various revenues and
costs that are influenced by both the stochastic property of interest rates and the likelihood of …

This study constructs a valuation model from which an option-adjusted spread approach is
employed to value individual mortgage servicing contracts for both adjustable rate and fixed …

Lawsuits have a deterrent effect, but this is mitigated if settlements are routine. Regulators
and judges should consider that a firm contemplating predatory activity directed at financially …

Litigation against the largest subprime mortgage servicer in the US provides lessons about
the appropriate regulation of mortgage servicing and adds to research about the causes of …

Accurately assessing the value of a mortgage servicing rights (MSRs) is an important task for
market participants. It is critical for financial institutions to report the fair value of their MSR …

The primary interest of this study is to evaluate the price of mortgage servicing rights using
an option-based model of mortgage servicing rights and to determine the optimal mix …