[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 …
(CRT) bonds. CRT bonds amount to catastrophe bonds on underlying mortgage collateral …
Investment performance of credit risk transfer securities (crts): The early evidence
C Gao, JJ McConnell - The Journal of Fixed Income, 2018 - search.proquest.com
Credit risk transfer (CRT) securities were introduced by Fannie Mae and Freddie Mac in
2013. As of the end of 2017, in combination, the two government sponsored housing …
2013. As of the end of 2017, in combination, the two government sponsored housing …
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 …
Risk Transfer bond (CRT) tranche market prices. Two state variables, modeled as …