scholarly journals Understanding the Securitization of Subprime Mortgage Credit

2008 ◽  
Author(s):  
Adam B. Ashcraft ◽  
Til Schuermann
Keyword(s):  
Subprime Mortgage ◽  
Mortgage Credit

Subprime Mortgage Credit Derivatives

2008 ◽  
Author(s):  
Laurie S. Goodman ◽  
Shumin Li ◽  
Douglas J. Lucas ◽  
Thomas A. Zimmerman ◽  
Frank J. Fabozzi
Keyword(s):  
Credit Derivatives ◽  
Subprime Mortgage ◽  
Mortgage Credit

scholarly journals Borrower Self-Selection, Underwriting Costs, and Subprime Mortgage Credit Supply

2005 ◽  
Vol 30 (2) ◽  
pp. 197-219 ◽  
Author(s):  
Joseph Nichols ◽  
Anthony Pennington-Cross ◽  
Anthony Yezer
Keyword(s):  
Subprime Mortgage ◽  
Credit Supply ◽  
Self Selection ◽  
Mortgage Credit

scholarly journals Securitization, loan modification and the supply of subprime mortgage credit in the US

2013 ◽  
Vol 3 (3) ◽  
pp. 149-162
Author(s):  
Anton Theunissen
Keyword(s):  
Continuous Time ◽  
Important Implication ◽  
Strategic Behavior ◽  
Balance Sheet ◽  
Contingent Claims ◽  
Subprime Mortgage ◽  
Mortgage Valuation ◽  
Mortgage Credit ◽  
The Us ◽  
Credible Threat

This paper develops a continuous time, contingent claims model of mortgage valuation with strategic behavior to show that mortgages that are securitized are characterized by significantly higher loan to value ratios than mortgages held on the balance sheet of the originator, if securitized mortgages cannot be renegotiated. Insofar as securitization inhibits loan modification, it serves as a credible threat to the borrower that default will provoke foreclosure. This enhances the value of the lender’s claim on the loan collateral, the home, and she is willing to lend more per dollar of collateral value. An important implication of the analysis is that the higher loan to value ratio for the securitized mortgage does not imply that the securitized mortgage is characterized by looser underwriting standards than the mortgage held on balance sheet. Higher loan to value ratios for securitized mortgages do not necessarily constitute evidence that securitization encourages risky lending.

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