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Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity by Frédéric Patras, Damiano Brigo, Tomasz R. Bielecki

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Chapter 11

Analysis of Mortgage- Backed Securities: Before and After the Credit Crisis

Harvey J. Stein

Bloomberg LP

Alexander L. Belikoff

Bloomberg LP

Kirill Levin

Bloomberg LP

Xusheng Tian

Bloomberg LP

There has been substantial turmoil and change in the financial markets over the past few years. We saw a housing bubble collapse trigger a subprime crisis that caused banks to fail, leading to a credit crisis and a recession requiring substantial government intervention. Among other things, this has led to renewed interest in analysis of mortgage-backed securities.

Valuation of mortgage-backed securities (MBSs) and collateralized mortgage obligations (CMOs) is the big science of the financial world. There are many moving parts, each one drawing ...

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