The first two chapters are dedicated to the modeling and implementation of a stock-flow consistent framework that incorporates real estate as an asset in the portfolio of the household. The third chapter investigates the main determinants of mortgage repayment of Canadian households. This first chapter presents a five-sector stock-flow consistency growth model where the portfolio decision of the households includes their choice of how much real estate they are interested in holding. The primary aim of the chapter is to model the housing market using the stock-flow consistent approach to explain the current global financial problem triggered by the housing market. The model is then simulated to predict the behaviour of various variables and propose appropriate solutions to the financial problem in the hope of returning the economy to a suitable equilibrium. Households' portfolio consists of money deposits, bills, bank equities and real estate. The other sectors that interact with the household sector are the production firms, the banks, the central bank and the government. Aside from the household sector, the banking sector ends up holding some real estate equivalent to the amount of mortgages defaulted by the households. The supply of real estate from the production sector is therefore augmented by the additional ones held by the banks. The second chapter presents the implementation of the stock-flow consistency model of first chapter. The purpose of the chapter is to run a simulation of the model and experiment with shocks to determine the path of the economic variables of the model. Another objective in performing the experiments is to find policies for mitigating the housing crisis. The model is implemented using the Eviews computer modeling software and runs until a stationary steady state is achieved. Various shocks are applied to the baseline stationary state. The results of the monetary policy show that the mortgage rate shock is more effective in influencing the growth rate of the economy as well as controlling the real estate market. Government fiscal policy is also effective in regulating the housing market. A one-period temporary fiscal policy shock is even capable of generating permanent long run growth effects. Household expectations in future housing price increases or future high rates of housing returns have the effect of heating the real estate market without comparable increases in economic growth. Policy makers must keep these expectations in check. The third chapter analyzes the determinants of mortgage repayment options in Canada. With the freedom that comes with being debt-free and owning a home one will assume that households pay off their mortgages as soon as possible. However, there are factors that inhibit households from carrying out these payoffs. The study uses Canadian micro-level data to examine factors that drive households to default, prepay or continue to make regular mortgage payments. The research methodology uses multinomial (polytomous) logistic regression analyzes. The empirical results establish that the traditional mortgage related predictor variables for repayment are statistically significant with the expected signs. The results relating to the provinces are not significantly different from each other. The results did not however provide any significance in relation to mortgage rates and the number of children in the household.

No description available.

In this study Jarrow Turnbull (1995) Model, which is a reduced form approach for credit risk models, is employed to estimate the default intensity of US corporate bonds conditionally based on a fixed recovery rate. The estimations are performed with respect to the ratings of the bonds and the results were consistent with the ratings. US Treasury Bills are also used to since zero coupon default free prices, modeled by Svensson (1994) are necessary for pricing the default risky coupon bonds.

Although the hazards of prenatal exposure to addictive substances have been documented for decades, it continues to be a prevalent social and health concern today. Alcohol and cocaine are two commonly abused substances during pregnancy, often leading to behavioral and cognitive disorders in exposed children. At present, the relationship between teratogenic effects of prenatal alcohol exposure (PAE) and prenatal cocaine exposure (PCE) on the brain and observed behavioral outcomes is still unclear. A primary reason for this incomplete understanding is the lack of information regarding neuronal functioning in these populations. Functional MRI, which measures real-time brain activation in response to certain stimuli, can be utilized to bridge the gap between known structural damage and observed behavioral outcomes. This thesis aims to examine structural and functional alterations in PAE and PCE populations as compared to unexposed, socio-economic status-matched populations. As the PAE population is highly affected by structural dysmorphology, the applicability of a newly developed diffeomorphic image registration method to this population is examined. Additionally, task-positive and task-negative functional connectivity and activity are investigated in the PAE population, and related to underlying structural alterations. Neural correlates of global arousal and emotional regulation are investigated in the PCE population, as these behavioral outcomes are most notable. Similarly, functional connectivity and activation in task-positive and task-negative networks, as well as correlated structural measures, are examined in the PCE population. The diffeomorphic image registration algorithm was found to improve both structural and functional image registration for the PAE population. In the examination of specific deficits in arithmetic processing, poorer performance in the PAE group was attributed to a multi-level effect produced by altered structural and functional connectivity and functional activity in calculation and default mode networks. Baseline arousal levels were found to be higher in adolescents with PCE as compared to healthy controls (by altered default mode network functioning); emotional regulation also appeared to be affected in the PCE group by a prefrontal-amygdala structural and functional disconnect. The findings of this thesis give insights into the relationship between task-positive and task-negative duality and cognitive impairment, and contribute to a more comprehensive understanding of the spectrum of clinical disorders caused by prenatal exposure to alcohol and cocaine.

Die zentralen Fragestellungen der Arbeit sind, wie die Insolvenzwahrscheinlichkeiten von Unternehmen prognostiziert und wie sie durch zielgerichtetes Handeln beeinflusst werden können. Hierzu gibt der Autor zunächst einen ausführlichen Überblick über die derzeit in Wissenschaft und Praxis verwendeten Ansätze zur Prognose von Unternehmensinsolvenzen, Schätzgütemaßen von Insolvenzprognosen sowie Datenquellen, die für die Prognose von Unternehmensinsolvenzen zur Verfügung stehen. Anschließend entwickelt er ein kausales Unternehmensmodell, das er mit stochastischen Simulationsverfahren analysiert. Das Modell wird validiert und mit Benchmarkverfahren verglichen. Abschließend zeigt der Autor, wie das Modell zur Ableitung von Handlungsempfehlungen zur Beeinflussung der individuellen Insolvenzwahrscheinlichkeit von Unternehmen herangezogen werden kann.

When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and stock indexes (volatilities). Across the whole region the sovereign CDS market dominates the price discovery process. However, 4 out of 7 Asian countries (Japan, Korea, Malaysia and the Philippines) demonstrate a feedback effect. The stock markets of countries with higher credit spreads (Indonesia, the Philippines and Korea) appear to react more severely at heightened variance in the CDS market. When considered separately for turbulent vs. calm periods, we find that the lead-lag relationship between the Asian sovereign CDS and stock markets is not stable. Apart from that, both markets become more interrelated during periods of increased volatility. The dependency of Asian CDS spreads and stock indexes on the “fear index” detected in the frames of robustness check implies an integration of both markets into the global one. Therefore, while seeking for arbitrage opportunities in the respective Asian markets one should also take into account possible influences of broader global factors.

No description available.

Is it probable that a reader can have an empathetic and learning experience of an historical event facilitated through text? Research in neuroscience indicates that the form of a text can trigger mirror neurons, enhancing empathy with the events and characters portrayed and enabling introspective learning through stimulation of the default state network in a reading brain. Narrative elements in historical and fictional literature are analyzed for their potential in facilitating the stimulation of these states. The historical fiction novel Morenga by Uwe Timm is analyzed in order to deduce what a reader neurologically experiences in relation to the text and the historical event portrayed in the novel during the reading process. The probability of the reader experiencing empathy and learning through text so that their perspectives on inter-textual and extra-textual similar events are affected is then developed.

This thesis consists of three essays. The first essay, “A Theory of Bank Illiquidity and Default with Hidden Trades”, develops a theory of banking to explore how the availability of trading opportunities for both banks and individual investors affects the link between illiquidity and default in the financial system. The results show that default emerges only in the presence of systemic risk, and when an unpredicted crisis hits the economy. Moreover, in contrast to the previous literature, default is not an efficient outcome of the economy. The second essay, “Financial Liberalization with Hidden Trades”, studies how the availability of unregulated market-based channels for the circulation of liquidity in the financial system affects the process of financial integration, and the efficiency of the corresponding equilibrium, in a two-country economy with comparative advantages. The results show that the only level of integration which the two countries are able to coordinate is the one where the two banking systems are autarkic, but international hidden trades are possible. Moreover, the resulting consumption allocation is constrained efficient. The third essay, “Bank Liquidity, Stock Market Participation, and Economic Growth”, develops a dynamic growth model with fully microfounded banks and markets to explain the observed decreasing trend in the relative liquidity of many financial systems around the world. The main result characterizes the threshold after which the agents in the economy are rich enough to access the market, where the relative liquidity is lower, and shows that the relative liquidity of the whole financial system (banks and markets) drops because of the increasing market participation. Some evidence consistent with this theoretical prediction is provided: a one-unit increase in an index of securities market liberalization leads to a drop in the relative liquidity of between 13 and 22 per cent.

Most farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading in these is rare and seldom used. The goal of this dissertation is to establish a pricing equation for weather derivatives specifically for use in the South African market. This equation will be derived using a similar methodology to that employed for credit default swaps. The premium derived will be designed to compensate grape farmers from losses arising from two different climatic outcomes - in this case temperature and precipitation. These derivatives will be region and crop specific and the formulation will be sufficiently flexible as to allow for further climatic possibilities (which may be added at a later stage). These weather derivative premiums will then be compared to standard crop insurance to establish economic viability of the products and recommendations will be made regarding their usage. The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal crop coverage will also be explored and discussed. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.