Pricing Residential Mortgage Credit Risk in the Post-GFC Era
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Following the Great Financial Crisis (GFC), the Credit Risk Transfer (CRT) bond market emerged as a new asset class in U.S. mortgage market. We develop an asset pricing framework for CRTs consistent with Treasury, corporate bond, and housing markets. Our analysis reveals that the Government
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美国国家经济研究局创建时间：
2026-01-01
