Mortgage Securitization: The Good, the Bad, or the Irrelevant?

2012 ◽  
Author(s):  
Gang "Nathan" Dong
Keyword(s):  
Mortgage Securitization

Mortgage Securitization; Pricing and Risk Management

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Risk Management ◽  
Real Estate ◽  
Cash Flows ◽  
Mortgage Loans ◽  
Financial Instrument ◽  
Mortgage Securitization ◽  
Period Derivative

This chapter captures an overview of how real-estate risk is transferred to investors through securitization channels. A large part is dedicated to a less known financial instrument called balance guaranteed swap, which is a type of multi-period derivative contingent on cash-flows generated by a pool of mortgage loans. Emphasis is placed on the problems arising from modelling cash-flows and also revealed is the difficult task of dynamically managing the risk of the balance guaranteed swaps.

scholarly journals Profit and Risk under Subprime Mortgage Securitization

2011 ◽  
Vol 2011 ◽  
pp. 1-64 ◽  
Author(s):  
M. A. Petersen ◽  
J. Mukuddem-Petersen ◽  
B. De Waal ◽  
M. C. Senosi ◽  
S. Thomas
Keyword(s):  
Risk Mitigation ◽  
Collateralized Debt Obligations ◽  
Mortgage Loans ◽  
Main Hypothesis ◽  
Subprime Mortgage ◽  
Important Indicator ◽  
Residential Mortgage ◽  
Maturity Mismatch ◽  
Mortgage Securitization ◽  
Collateralized Debt

We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs). Our deliberations focus on profit and risk in a discrete-time framework as they are related to RMBSs and RMBS CDOs. In this regard, profit is known to be an important indicator of financial health. With regard to risk, we discuss credit (including counterparty and default), market (including interest rate, price, and liquidity), operational (including house appraisal, valuation, and compensation), tranching (including maturity mismatch and synthetic) and systemic (including maturity transformation) risks. Also, we consider certain aspects of Basel regulation when securitization is taken into account. The main hypothesis of this paper is that the SMC was mainly caused by the intricacy and design of subprime mortgage securitization that led to information (asymmetry, contagion, inefficiency, and loss) problems, valuation opaqueness and ineffective risk mitigation. The aforementioned hypothesis is verified in a theoretical- and numerical-quantitative context and is illustrated via several examples.

The effect of mortgage securitization on asset liquidation decisions

2021 ◽  
Author(s):  
Anurag Mehrotra ◽  
Adam Nowak ◽  
Patrick S. Smith
Keyword(s):  
Mortgage Securitization

Standardization of Information and Financial Innovation

2015 ◽  
pp. 309-331
Author(s):  
Antonios Kaniadakis
Keyword(s):  
Supply Chain ◽  
Business Strategy ◽  
Management Strategies ◽  
Financial Innovation ◽  
Mortgage Lending ◽  
Mortgage Industry ◽  
Analysis Process ◽  
Vertical Disintegration ◽  
Mortgage Securitization ◽  
Organizing Vision

Mortgage securitization markets emerged as an extension of the primary mortgage lending markets. This created the need for standardization of information across these two contexts that would enable a collective and universal understanding of credit risk and its management. The securitization industry, however, instead of developing standardization management strategies that would support this vision, it rather chose to implement an organizing vision that was centered around operational efficiency and profit-making supported by a focus on functional specialization. The outcome was the fragmentation of the securitization supply chain via vertical disintegration, which undermined the unity of the risk analysis process. This chapter argues that the effects of technological standardization on innovation in the mortgage industry should be explored beyond a narrow focus on efficiency and profit in relation to an individual organization's business strategy; but rather within an extended scope that includes broader social and policy contexts that guide innovation.

scholarly journals Mortgage Securitization and Shadow Bank Lending

2020 ◽  
Author(s):  
Pedro Gete ◽  
Michael Reher
Keyword(s):  
Cross Section ◽  
Financial Stability ◽  
Bank Lending ◽  
Mortgage Market ◽  
Secondary Market ◽  
Market Prices ◽  
Coverage Ratio ◽  
Regulatory Status ◽  
Mortgage Securitization ◽  
The U.S

Abstract We show how securitization affects the size of the nonbank lending sector through a novel price-based channel. We identify the channel using a regulatory spillover shock to the cross-section of mortgage-backed security prices: the U.S. liquidity coverage ratio. The shock increases secondary market prices for FHA-insured loans by granting them favorable regulatory status once securitized. Higher prices lower nonbanks’ funding costs, prompting them to loosen lending standards and originate more FHA-insured loans. This channel accounts for 22% of nonbanks’ growth in overall mortgage market share over 2013–2015. While the shock creates risks for financial stability, homeownership also increases.

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