Credit Risk Transfer and the Pricing of Mortgage Default Risk

October 2022 | by Deborah Lucas and Edward Golding

Edwad Golding and Debbie Lucas in a recently posted working paper, Credit Risk Transfer and the Pricing of Mortgage Default Risk, analyze the effectiveness of transferring mortgage credit risk from Freddie Mac and Fannie Mae into the capital markets.  It would appear that credit risk transfer securities are a relatively expensive way to transfer risk.

To view the entire working paper, click here.