# Securitisation of Subprime Mortgage Credit

This reading is a part of the syllabus for FRM Part 2 Exam in the section ‘Credit Risk Measurement and Management

This paper covers the following:

- An overview of the subprime mortgage securitization process and the seven key informational frictions which arise
- How market participants work to minimize these frictions and speculate on how this process broke down
- A complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending
- The key structural features of a typical subprime securitization
- How the rating agencies assign credit ratings to mortgagebacked securities
- How the agencies monitor the performance of mortgage pools over time.
- It uses the example of a mortgage pool securitized by New Century during 2006.

[gview file="http://www.ny.frb.org/research/economists/ashcraft/subprime.pdf" save=1]

## Data Science in Finance: 9-Book Bundle

Master R and Python for financial data science with our comprehensive bundle of 9 ebooks.

### What's Included:

- Getting Started with R
- R Programming for Data Science
- Data Visualization with R
- Financial Time Series Analysis with R
- Quantitative Trading Strategies with R
- Derivatives with R
- Credit Risk Modelling With R
- Python for Data Science
- Machine Learning in Finance using Python

Each book includes PDFs, explanations, instructions, data files, and R code for all examples.

Get the Bundle for $39 (Regular $57)JOIN 30,000 DATA PROFESSIONALS

## Free Guides - Getting Started with R and Python

Enter your name and email address below and we will email you the guides for R programming and Python.