ABSTRACT “Limits of Arbitrage” theories hypothesize that the marginal investor in a
particular asset market is a specialized arbitrageur rather than a diversified representative …

Value at risk has become a standard approach for estimating and expressing a firm's
exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses …

We construct a new data set tracking the daily value of life insurers' assets at the security
level. Outside of the 2008–2009 crisis, a 1 drop in the market value of assets reduces an …

Using a sample of publicly traded savings and loan associations (S&Ls), this paper provides
evidence that off-balance-sheet derivatives activities are positively associated with lower …

Because most mortgages in the United States are securitized in agency mortgage-backed
securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding …

We present a simple, linear asset pricing model of the cross section of Mortgage‐Backed
Security (MBS) returns. MBS earn risk premia as compensation for their exposure to …

The growth of the mortgage market in recent years has raised the question of what effects, if
any, the hedging of mortgage portfolios has on the behavior of long-term interest rates. This …

We present a simple expression for the sensitivity of duration, convexity, and higher-order
bond risk measures to changes in term-structure shape parameters. Our analysis enables …

Significant US house price appreciation in the last few years has greatly helped to enlarge
the size and scope of secondary markets for securities backed by non-prime mortgage …

Mortgage investing is the domain of financial intermediaries, such as Fannie Mae and
Freddie Mac, who possess specialized knowledge and experienced analytic teams. Capital …