Investigation on the credit risk transfer effects on the banking stability and performance

R Younes - Cogent Economics & Finance, 2022 - Taylor & Francis
Considered among of the main causes of the 2007 financial crisis, the credit risk transfer
activities deserve nowadays particular attention. This study discusses the continuous …

[BOOK][B] The market view of mortgage credit risk

JE O'Neill - 2022 - search.proquest.com
In Chapter 1 of this dissertation, I study the informational content of GSE Credit Risk Transfer
(CRT) bonds. CRT bonds amount to catastrophe bonds on underlying mortgage collateral …

A top-down model for mortgage portfolio credit risk

J O'Neill - Available at SSRN 4152083, 2022 - papers.ssrn.com
I build and estimate a top-down portfolio credit model matched to a sample of GSE Credit
Risk Transfer bond (CRT) tranche market prices. Two state variables, modeled as …

[PDF][PDF] Credit Risk Transfer and the Pricing of Mortgage Default Risk

D Wang, X Wu, H Ye - 2020 - abfer.org
In response to Fannie Mae's and Freddie Mac's rapidly mounting default losses and rising
funding costs during the financial crisis of 2007-8, federal regulators placed the GSEs 1 into …