Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products
提出了一个分析框架，用于评估房主可提取第二抵押权时第一和第二抵押权的价值，并量化了包含“隐性第二抵押权”的MBS的更大风险，发现未考虑权益提取选项会导致评级虚高。
Abstract We provide an analytic valuation framework to value second lien mortgages and first lien mortgages when homeowners can take out a second lien. We use the framework to value mortgage‐backed securities (MBS) and, in particular, quantify the greater risk associated with MBS backed by first liens that have “silent seconds.” Rating MBS without accounting for homeowners' equity extraction option results in much higher ratings than warranted by expected loss. While in our benchmark calibration, the senior tranche rating should be A 1 rather than , the big losers from the equity extraction option are the mezzanine tranches that are nearly wiped out.