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Concept

Mortgage-backed security

Related publications (16)

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Cryptographic Administration for Secure Group Messaging

Serge Vaudenay, Daniel Patrick Collins

Many real-world group messaging systems delegate group administration to the application level, failing to provide formal guarantees related to group membership. Taking a cryptographic approach to group administration can prevent both implementation and pr ...

Berkeley2023

Bootstrapping for Approximate Homomorphic Encryption with Negligible Failure-Probability by Using Sparse-Secret Encapsulation

Jean-Pierre Hubaux, Juan Ramón Troncoso-Pastoriza, Jean-Philippe Léonard Bossuat

Bootstrapping parameters for the approximate homomorphic-encryption scheme of Cheon et al., CKKS (Asiacrypt 17), are usually instantiated using sparse secrets to be efficient. However, using sparse secrets constrains the range of practical parameters withi ...

SPRINGER INTERNATIONAL PUBLISHING AG2022

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Yu Wu

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...

EPFL2021

Mortgage Supply and Capital Regulation in a Low Interest Rate Environment

Luisa Lambertini, Yu Wu

Low-for-long nominal interest rates have resulted in strong growth in mort- gage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global system ...

2020

The Adapted Lifestyle-Integrated Functional Exercise Program for Preventing Functional Decline in Young Seniors: Development and Initial Evaluation

Wei Zhang

Background: The Lifestyle-integrated Functional Exercise (LiFE) program is an intervention integrating balance and strength activities into daily life, effective at reducing falls in at-risk people >= 70 years. There is potential for LiFE to be adapted to ...

KARGER2019

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Pinar Uysal, Victoria Nuguer

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Energy Efficiency Valuation and Mortgage's Implicit Insurance

Philippe Bélanger

This thesis has two objectives. The first objective is to better understand the value of energy efficiency in buildings and its relationship to secondary market real estate prices. The second objective is to understand the cost of the implied insurance inc ...

EPFL2015

The Birth of the Workshop: Techno-Morals, Peace Experts and the Care of the Self in the Middle East

Nikolas Kosmatopoulos

In the article I examine through ethnography and contextual analysis one of the flagship techniques of peace expertise in the Middle East and elsewhere, the so-called conflict resolution workshop. For the transnational and hyper-mobile clan of peacemakers ...

2014

Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...

EPFL2014

Optimal incentives and securitization of defaultable assets

Semyon Malamud

We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...

Elsevier2013

Essays in Financial Economics

In the first chapter of this thesis, I empirically show that the time delay firms face in raising outside capital affects cash holdings. I exploit the 2005 US Securities Offering Reform (the Reform) as a quasi-natural experiment. For a subset of large publ ...

EPFL2012

Risky Mortgages in a DSGE Model

Luisa Lambertini, Chiara Forlati

This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing inv ...

2011