Mortgage-backed securities (MBS) are among the most complex of all financial instruments.
Analysis of MBS requires blending empirical analysis of borrower behavior with the …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

This is the first paper in the literature to focus on CMBX price formation with dual techniques
of liquidity estimation. In this paper, we introduce a generalizable method using principal …

A number of mortgage prepayment models require a specification of the mortgage rate
process. Usually, ad-hoc models are used (eg, a Treasury yield plus some constant) …

This is the first paper to estimate the pricing of default, interest rate, liquidity and excess
liquidity risks at intraday frequencies for securitized commercial real estate securities. In …

In this dissertation, we introduce a genetic algorithm approach to estimate the star
discrepancy of a point set. This algorithm allows for the estimation of the star discrepancy in …

This article describes a stochastic home price appreciation (HPA) model that can be used to
obtain random paths of simulated home prices that are consistent with historical behavior …

A fixed-rate borrower has the option to pay off the loan after paying certain penalties. The
borrower will do so only if the spot interest rate falls sufficiently below the contract rate …

This paper introduces a method for daily and intraday estimation of reduced form risk
decompositions for CMBX. We estimate daily default, rates, liquidity, and excess liquidity risk …

A number of mortgage prepayment models require a specification of the mortgage rate
process. In 2006, Citigroup published its MOATS model where the prepayment model was …