RT Journal Article
SR Electronic
T1 Assessing Credit Risk in the RMBS Sector
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 104
OP 111
DO 10.3905/jsf.2012.17.4.104
VO 17
IS 4
A1 Suzanne Mistretta
A1 Andrew Davidson
YR 2012
UL https://pm-research.com/content/17/4/104.abstract
AB U.S. residential mortgage performance is expected to remain under pressure in 2012. Although default rates and the number of serious delinquent loans have been falling, negative equity for non-agency RMBS loans continues to be a primary driver of collateral performance for all borrowers. RMBS credit risk can be measured by various quantitative measures of risk as an alternative to ratings.TOPICS: Credit risk management, MBS and residential mortgage loans, CMBS and commercial mortgage loans