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Monopoly and Informational Advantage in the Residential Mortgage Market
This paper analyzes a mortgage loan market in which an incumbent lender employs a proprietary screening technology to produce a precise estimate of loan credit quality. When the information underlying the technology has significant strategic value, the incumbent introduces noise to block inferences from potential competitors. As a result, the...
Piercing (and Then Papering Over) the Veil of Ignorance: GSE Monopoly and Informational Advantage in the Market for Residential Mortgages
This paper constructs a model of a monopolistic (GSE-dominated) market for mortgages is constructed in which the GSE employs a proprietary credit evaluation technology to produce a precise estimate of mortgage loan credit quality. When the private value of the information underlying the screening technology is sufficiently high, the GSE...
Parameter Stability and the Valuation of Mortgages and Mortgage-Backed Securities
The paper examines the effect of parameter instability on the valuation of mortgages and mortgage-backed securities. In particular, the paper prices 1997 issue mortgages subject to the 1998 bond market rally events assuming an empirically derived prepayment model constructed on data reflecting the 1993 experience and compares results to those...
A Pathway To Housing Goals, A Bridge To Commercial Mortage Market Efficiency
This study examines about multifamily finance in the context of its efficiency of operation in supplying capital to all segments of the multifamily rental market. It identifies four issues of importance in multi family finance. These are lack of data availability, efficiency f small loan market, prepayment and default risk...
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