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Showing 1 to 7 of 7 (0.051 seconds)Spelling suggestions: "subject:"assetbacked securities"" "subject:"assetbacked ecurities""
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Financial innovation in the public real estate market : How to exploit arbitrage opportunities in public real estate pricing due to investment approach differences between the real estate market and the capital marketGejler, Jacob January 2013 (has links)
As the stock market is volatile and often short-term, there is a high demand for safe investments outside the stock market and institutional investors like pension funds, insurance companies and asset managers are increasingly searching for low-risk investments that can deliver safe returns. Alternative investments, like real estate, are a popular way to invest institutional capital. However, debates whether pension savers should have the right to transfer their pension capital without restrictions and discussions about the suitability of institutional investors to own real estate directly has made liquidity a more important aspect when investing institutional capital. Forecasts and expectations suggest that a large part of Sweden’s public real estate portfolio, such as schools, hospitals and nursing homes, will be sold or produced privately as new builds in the future. Earlier studies have also shown that this type of real estate, with long leases and reliable tenants, is suitable for securitization, that is to say for issuing tradable securities such as bonds based on the cash flows from such assets. The high demand for institutional capital to find safe and liquid investments and the large future divestment of public properties create opportunities for financial innovation. This thesis aims to research if there are arbitrage opportunities to exploit due to differences between the real estate market and the capital market in the pricing of public real estate. The thesis will also examine the possibility of setting up a fund structure to profit in practice from these opportunities and study what the business model of such a firm would look like.
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Prepayment Modeling in Mortgage Backed Securities : Independent and Strategic Approaches to Prepayment TimingAndersson, Johanna January 2024 (has links)
Mortgage Backed Securities (MBS) are a type of security backed by mortgages as the underlying asset. This is achieved through a process called securitization, where specific mortgages are grouped together and separated from the bank’s other assets, and then sold to investors. One of the risks for investors in MBS is mortgage prepayments made by the borrowers of the underlying mortgages. This risk arises due to the uncertainty of the expected cash flows to be distributed among the investors. There is a correlation between falling market interest rates and an increase in prepayments. When market interest rates fall, borrowers have an incentive to refinance their mortgages at lower interest rates, leading to higher prepayment rates. The Public Securities Association (PSA) model is recognized as a standard benchmark for estimating prepayment rates in MBS. In this paper, we have introduced models to generate time points for prepayments and compare how well these models match with the PSA model. Some of these models determine the timing of each prepayment event using an exponentially distributed Poisson process, while one model employs the Gamma distribution. Additionally, we introduce a strategy where prepayment is strategically triggered by whether the market rate falls below the contract rate. In that strategy, we investigate when it is most beneficial to make a prepayment. The results show that among the models employing random generation of prepayment events, the Gamma distribution best aligns with the PSA rule. Regarding the strategic prepayment strategy, our findings suggest that it is most advantageous to make prepayments early in the mortgage term, aligning with the most rational behavior as well.
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Wealth effects from asset securitization : (the case of Australia)Lapanan, Nicha, Anchev, Stefan January 2011 (has links)
Asset securitization is one of the most important financial innovations recently. With an impressive growth in terms of volume of issuance, from almost zero to five trillion USD, in a period of 15-20 years, it is one of the most rapidly growing markets in the financial world. Yet, little is known about this, literally invisible market. Companies engage in asset securitization for a variety of reasons and numerous advantages and disadvantages of asset securitization can be found throughout the literature. Asset securitization has an impact on a number of stakeholder groups: shareholders, managers, employees, investors, the financial markets and ultimately the overall economy and society. Asset securitization is one of the reasons for the financial crisis that started in mid 2007. Since the recent financial turmoil, it became clear the asset securitization was the primary funding source for companies in the financial industry and it was the primary supplier of credit in developed economies. Because of its importance and impact, it is very important that we study the reasons, the motivations, the consequences and the effects from this so powerful financial innovation. And it is important to study it from as many different aspects as possible. Many questions surrounding asset securitization are unanswered and it is important to answer them sooner. This study investigates the wealth effects from asset securitization on the shareholders of the securitizing companies. We study whether the announcement about a pending securitization transaction has any impact on the stock price of the securitizing company. That way we can discover whether asset securitization creates wealth, destroys wealth or has no impact on wealth at all. Not many studies have been done on this topic so far. The existing seven studies are focused mainly on the US and the EU market and report contradicting results. In this study, for the first time, data from Australia is being used. The Australian securitization market is the second, single most active securitization market in the world, after the US market. We conduct quantitative analysis on a sample of 98 securitization transactions during the period 2000-2006. With this sample, we cover almost 29% of the number of securitization transactions during that period and almost 39% in terms of volume of issuance. To analyze the data we use standard event study methodology, common for this type of studies. Our analysis reveals that investors in Australia do not perceive asset securitization favorably. Securitizing companies’ stock price decreases in the 10 days around the securitization announcement day, resulting in statistically significant wealth losses for the originating companies’ shareholders. Furthermore, the wealth losses are significant for less frequent securitizers, for securitizers that engage in small volume securitization transactions and for securitizing companies with low asset quality. With this study we make theoretical and practical contribution. We lend empirical support to the previous theories and we help managers, shareholders and investors shape their forecasts.
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Reclassifications of financial intstruments in the Nordic countries : The effects of the reclassification amendments on Nordic banks financial statements of 2008 and 2009Sturk, Madeleine, Valkonen Evertsson, Marina January 2010 (has links)
Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 Financial instruments: recognition and measurement and IFRS 7 Financial instruments: disclosures in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009. The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit as a result of reclassifying financial instruments in 2008. The return on equity (ROE) increased significantly compared to whether the banks would not had reclassified their financial instruments. Tendencies found among the sample Nordic banks are that larger and less profitable banks used the possibility to reclassify financial instruments to a greater extent. Because none of the banks made losses on their choice to reclassify in 2008, the conclusion is that the opportunity given due to the amendments are mostly used by the banks to enhance the net income and the key ratio ROE. This shows that management decisions are short-term. This also indicates that the amendments may be misused by management to enhance current profit for their own benefit. The thesis also concludes that the departure from fair-value as the valuation method for financial instruments, due to recent massive critic, is unlikely.
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Reclassifications of financial intstruments in the Nordic countries : The effects of the reclassification amendments on Nordic banks financial statements of 2008 and 2009Sturk, Madeleine, Valkonen Evertsson, Marina January 2010 (has links)
<p>Due to the apparent global economic conditions, at the end of 2008, the International Accounting Standards Board (IASB) issued amendments to IAS 39 <em>Financial instruments: recognition and measurement </em>and IFRS 7 <em>Financial instruments: disclosures</em> in October and November, 2008. The amendments allow banks to reclassify their non-derivative financial instruments in rare circumstances. This thesis investigates whether banks in the Nordic countries (Denmark, Finland, Norway, and Sweden) reclassify financial instruments, in their financial statements of 2008 and 2009.</p><p>The result of the study shows that 47% of the sample Nordic banks reclassified financial instruments in 2008 and 12% in 2009. All banks increased their net profit as a result of reclassifying financial instruments in 2008. The return on equity (ROE) increased significantly compared to whether the banks would not had reclassified their financial instruments. Tendencies found among the sample Nordic banks are that larger and less profitable banks used the possibility to reclassify financial instruments to a greater extent. Because none of the banks made losses on their choice to reclassify in 2008, the conclusion is that the opportunity given due to the amendments are mostly used by the banks to enhance the net income and the key ratio ROE. This shows that management decisions are short-term. This also indicates that the amendments may be misused by management to enhance current profit for their own benefit. The thesis also concludes that the departure from fair-value as the valuation method for financial instruments, due to recent massive critic, is unlikely.</p>
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Liquidity constraints and collateral crisesRodrigues, Diego de Sousa 16 May 2018 (has links)
Submitted by Diego de Sousa Rodrigues (diego-2607@hotmail.com) on 2018-05-21T19:09:48Z
No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 724079 bytes, checksum: 3ad8ea76a1e94e45b794f4a0daa1ee3e (MD5) / Rejected by Pamela Beltran Tonsa (pamela.tonsa@fgv.br), reason: Bom dia Diego,
Para que possamos dar andamento ao seu processo será necessário fazer apenas alguns ajustes.
SÃO PAULO 2018 = DEVE SER LETRA MAIÚSCULA NAS CAPAS.
A ficha catalográfica, deve ser inserida conforme lhe foi enviado pela biblioteca - Mudando apenas a quantidade de paginas.
( colocar ate mesmo o quadrado/ retângulo )
Apos as modificações excluir o arquivo ja postado e fazer novamente toda submissão.
Qualquer duvida estamos a disposição.
att,
Pâmela Tonsa
3799-7852
on 2018-05-22T13:29:44Z (GMT) / Submitted by Diego de Sousa Rodrigues (diego-2607@hotmail.com) on 2018-05-22T16:41:39Z
No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 742240 bytes, checksum: 7566b1884a3945cd0b1e24a245dcae9b (MD5) / Rejected by Pamela Beltran Tonsa (pamela.tonsa@fgv.br), reason: Boa tarde Diego,
Conforme falamos , estou rejeitando seu trabalho para a nova alteração.
Att.
Pâmela Tonsa
3799-7852 on 2018-05-22T16:48:17Z (GMT) / Submitted by Diego de Sousa Rodrigues (diego-2607@hotmail.com) on 2018-05-22T16:54:53Z
No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 761100 bytes, checksum: 7c985eac9766620ac562288a5c15f07d (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2018-05-22T16:56:47Z (GMT) No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 761100 bytes, checksum: 7c985eac9766620ac562288a5c15f07d (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-05-22T17:50:28Z (GMT) No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 761100 bytes, checksum: 7c985eac9766620ac562288a5c15f07d (MD5) / Made available in DSpace on 2018-05-22T17:50:28Z (GMT). No. of bitstreams: 1
Liquidity_constraints_and_collateral_crises.pdf: 761100 bytes, checksum: 7c985eac9766620ac562288a5c15f07d (MD5)
Previous issue date: 2018-05-16 / Asset-backed securities were widely traded. Arguably, this happened because they were complicated claims, in the sense that it was very costly to assess their fundamental value. Here, we show that if this is the case, then the emergence of alternative ways to address liquidity needs, by undermining the liquidity role of these assets and reinforcing the relevance of their fundamental value, may increase the incentives to acquire information about them, and negatively impact the credit market. Hence, our results suggest that it is easier for these assets to accomplish the role of private money when there are fewer alternative ways to address liquidity needs. / Os títulos lastreados em ativos eram amplamente negociados. Provavelmente, isso aconteceu porque eram títulos complicadas, no sentido de que era muito custoso avaliar seu valor fundamental. Aqui, mostramos que, se este é o caso, então o surgimento de formas alternativas de atender às necessidades de liquidez, ao enfraquecer o papel de liquidez desses ativos e reforçar a relevância de seu valor fundamental, pode aumentar os incentivos para obter informações sobre eles e impactar negativamente o mercado de crédito. Portanto, nossos resultados sugerem que é mais fácil para esses ativos desempenharem o papel do dinheiro privado quando há menos formas alternativas de atender às necessidades de liquidez.
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Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios / Unternehmenswertorientierte Modellentwicklung und transaktionsbezogene Modellanwendungen / Semi-Analytical and Simulative Credit Risk Measurement of Synthetic Collateralized Debt Obligations with Heterogeneous Reference Portfolios / A Modified Asset-Value Model and Transaction-Based Model ApplicationsJortzik, Stephan 03 March 2006 (has links)
No description available.
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