Understanding the Securitization of Subprime Mortgage Credit

By Adam B. Ashcraft, Til Schuermann. 2008

618 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/723dea4ff8ce483c6cdd679165f656ecba59b2e1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The global financial crisis: How similar? How different? How costly? (2010, neutral): “…loans conforming to the underwriting standards of Government Sponsored Agencies (GSEs)—changed in scope in the last decade, with more than 70 percent of non-conforming mortgages in the United States being securitized by 2007, up from less than 35 percent in 2000 (see Ashcraft and Schuermann, 2007).”
CAUSES OF THE FINANCIAL CRISIS (2009, background): “Because these mortgages were all originated around the same time, mortgage lenders had inadvertently created an environment that could lead to a systemic wave of defaults if the price of housing had declined two or three years later, when the mortgages reset (Ashcraft and Schuermann 2008 ; Gorton ”
The Financial Turmoil of 2007-?: A Preliminary Assessment and Some Policy Considerations (2008, neutral): “For an extensive and critical analysis of the securitisation chain, also with particular reference to the subprime mortgage segment, see Ashcraft and Schuermann (2008).”
Optimal securitization with moral hazard (2012, background): “For an good description of the market for securitized subprime loans, see Ashcraft and Schuermann (2009).”
Manufacturing Tail Risk: A Perspective on the Financial Crisis of 2007-09 (2010, neutral): “Because most of these mortgages were all originated around the same time, mortgage brokers and lenders had inadvertently created an environment that could lead to a systemic wave of defaults if the price of housing declined two or three years later, when the mortgages were scheduled to reset (Ashcra”
Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics (2012, neutral): “Ashcraft and Schuermann (2008) describe subprime securitizations with the example of a pension fund investor.”
Cities Destroyed (Again) For Cash: Forum on the U.S. Foreclosure Crisis (2008, methodology): “The rating agencies receive much of their income from those seeking ratings and suggests one of many conflicts of interest woven into the securitization process (Ashcraft and Schuermann, 2008).”
Accounting in and for the Subprime Crisis (2008, neutral): “(2008), and Ashcraft and Schuermann (2008) for detailed discussions of the variety of structural features that may be present in securitizations.”
Asymmetric Information, Adverse Selection, and the Pricing of CMBS (2011, background): “Those concerns have been cited among flaws of the “originate-to-distribute” model (see, for example, Bernanke, 2008; Mishkin, 2008; European Central Bank, 2008; Ashcraft and Schuermann, 2008; Keys, et al, 2008; and Purnanandam, 2009).”
Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities (2012, neutral): “Panel A: AAA Tranches Only, No Issuer Fixed Effects (1) (2) (3) (4) (5) (6) (7) (8) Issuer Share 0.”
Securitisation and Financial Stability (2009, neutral): “3 A comprehensive survey of the securitisation process for subprime mortgages is given by Ashcraft and Schuermann (2008) who details the specific agency problems at seven points in the securitisation chain. 4 See, for instance, Gieve (2008) and Mishkin (2008) among others.”