Cette thèse est constituée de trois essais sur les activités de fusions-acquisitions (F&A) des banques et leurs effets sur la stabilité du secteur bancaire. Le premier essai analyse l’intensité de l’activité F&A des grandes banques Européennes au cours d'une période vaste de 1990-2006 et les liens avec les mesures de sauvetages et les notations de crédit pendant la crise financière de 2007-2009. Trois résultats importants sont mis en évidence à partir de notre étude. En premier lieu, l'intensité de l'activité F&A est liée positivement à la probabilité de sauvetage pendant la crise financière. En second lieu, cette intensité des activités de F&A est liée à la détérioration des notations des émetteurs, suggérant ainsi un risque de défaut plus élevé des banques acquéreuses pendant la période de crise. Enfin, on constate un lien positif entre les mesures de protection gouvernementales et l'effet combiné des activités de F&A et du facteur « too big to fail ». Ceci laisse penser que les banques peuvent poursuive leurs activités de F&A pour exploiter des avantages de protection liés à leur statut de « too big to fail ». Le second essai analyse la relation entre les activités de F&A de grandes banques Européennes et leur vulnérabilité à la crise financière en utilisant l’indicateur DD de Merton (1974) et le ratio de Z-score comme mesures de risque de faillite et de solvabilité. Les résultats mettent en évidence que les stratégies d’acquisition de banques d'investissements sur une période de 1990-2006 sont liées significativement à l'augmentation en leur risque de défaut (mesuré par DD) et l'insolvabilité (mesuré par le Z-score) pendant la crise financière récente. Le troisième et dernier essai s’intéresse aux relations entre les opérations de F&A et les évolutions de la déréglementation bancaire et des réformes de régulation bancaire mises en place aux Etats-Unis. Nous analysons principalement les effets de deux actes de déréglementation significatifs des années 1990 qui ont permis aux banques américaines de s’étendre à travers les états (acte de Riegle-Neal de 1994 et acte de Gramm-Leach-Bliley de 1999). Nous comparons les activités de F&A des banques américaines avec comme groupe de contrôle les banques européennes sur la période 1990-2009. Nous constatons un effet significativement positif de la déréglementation sur les activités de F&A dans le secteur bancaire américain. Cependant, on peut remarquer que les effets constatés ne sont pas forcément les effets souhaités ou visés par les deux actes de déréglementation. De plus, nous montrons que l'intensité des activités de F&A et la déréglementation provoquent conjointement un effet négatif sur la stabilité du secteur bancaire américain, justifiant ainsi le lien souvent établi entre la concentration du système bancaire et sa fragilité. / This dissertation consists of three essays on mergers and acquisitions (M&A) activity of banks and various dimensions of their stability. The first essay delves upon whether and how acquisitiveness of large European banks over an extensive period of 1990-2006 relate to their bailouts and credit ratings during the financial crisis of 2007-2009. Three important findings emerge from the performed analysis. First, the intensity of bank M&A activity positively relates to the likelihood and extent of their bailout support during the financial crisis. Second, the ex-ante acquisitiveness of banks relates in a significantly positive manner with the deterioration in bank issuer ratings – suggesting towards higher default risk of acquisitive banks during the crisis period. Third, a positive link between the external support and the joint effect of M&A activity and “too big to fail” factor substantiates that banks may pursue M&A activity to exploit safety net benefits associated with “too big to fail” status in the market. The second chapter analyzes the relation between M&A activity of large European banks and their vulnerability to the financial crisis using Merton (1974) based distance to default (DD) and the Z-score ratio as a measure of bankruptcy risk and solvency. The results suggest that a greater focus of samples banks towards acquiring investment banking operations over a time span of 1990-2006 significantly relates to the increase in their risk default (measured by DD) and insolvency (measured by Z-score) during the recent financial crisis. Moreover, relatively limited evidence indicates towards the positive stability effects of the acquisitions performed in the retail banking segment of industry by the sample banks. The third and final essay of this dissertation provides M&A centric evidence on bank deregulation, consolidation, and stability in the U.S. banking industry. We primarily analyze the effects of two significant deregulatory acts of the 1990s that permitted U.S. banks to expand across states (the Riegle-Neal act of 1994) and functions performed (the Gramm-Leach-Bliley act of 1999). We employ difference-in-difference approach over M&A activity of U.S. (treatment group) and European (control group) banks over a time span of 1990-2009 in an unbalanced panel setting. We find a significantly positive effect of deregulation in spurring M&A centric consolidation in the U.S. banking industry. However, such effects are not fully reflected in the types of diversification aimed at in the two deregulatory acts. Moreover, we also show that M&A intensity and deregulation jointly cast a negative effect on the stability of U.S. banking industry –thus substantiating “Concentration – Fragility” view over banking.

[ES] La presente Tesis Doctoral, desarrollada a modo de compendio de cuatro publicaciones, tiene como objeto el valor de las marcas del sector de las nuevas tecnologías y la sostenibilidad de las empresas propietarias de dichas marcas. En las dos primeras publicaciones se desarrollan modelos matemáticos de estimación del valor de marca, utilizando únicamente la información económico-financiera de las empresas. En la tercera publicación se analiza el grado de similitud de los rankings de sostenibilidad de acceso abierto más importantes que han aparecido en la última década, para determinar si incorporan de facto las marcas mejor valoradas del sector tecnológico. Y, por último, en la cuarta publicación se desarrollan modelos matemáticos que explican diferentes tipos de resultados de las empresas en función de la transparencia en materia de sostenibilidad de las compañías propietarias de las marcas. En las cuatro publicaciones presentadas, la muestra es común y está formada por un total de trece marcas del sector tecnológico: Accenture, Apple, Cisco, Facebook, Google, HP, IBM, Intel, Microsoft, Oracle, Samsung, SAP y Sony. Estas marcas son las mejor valoradas del sector de la tecnología en el periodo 2000-2018 según los rankings internacionales de valoración de marcas (Interbrand, Brand Finance y Millward Brown), y han permanecido en el Top-100 de al menos dos de dichos rankings en dicho periodo. Las conclusiones generales de nuestra investigación permiten confirmar que la información económico-financiera es importante para explicar el valor de las marcas de las empresas tecnológicas. Concretamente, únicamente con el resultado neto de las empresas se explica cerca del 60% del valor de marca proporcionado por los rankings internacionales. Si al resultado neto, se añade la cotización bursátil de las empresas propietarias de las marcas, se llega a explicar el 80% del valor de las marcas. Y si, por último, se añaden un conjunto de variables económico-financieras, el valor de marca se aproxima al 90%. De estos resultados, se puede deducir que la proporción restante del valor de marca, entre el 10% y el 40%, (en función de las variables que se incluyan en los modelos), es explicada por la fortaleza de la marca. Esta Tesis también evidencia, tanto las diferencias significativas entre las valoraciones de marca proporcionadas por las consultoras de valoración de marcas, como las diferencias entre las valoraciones de sostenibilidad proporcionadas por los rankings de RSC de acceso abierto, y al mismo tiempo, las diferencias entre ambos tipos de valoraciones; ya que, las empresas con las marcas más reconocidas mundialmente, no son las que mayor conciencia socio-ambiental tienen. Por último, se observa que las grandes empresas son más transparentes en términos de sostenibilidad, pero esta transparencia apenas se relaciona con otros resultados económicos como el incremento de los activos, de los ingresos, el apalancamiento, el ROE o el ROA. Además, se muestra que los tres pilares de la RSC son utilizados por las consultoras para determinar el valor de marca, mientras que los rankings de RSC solo utilizan la transparencia en los aspectos sociales y ambientales. / [CA] La present Tesi Doctoral, desenvolupada com un compendi de quatre publicacions, té com a objecte el valor de les marques del sector de les noves tecnologies i la sostenibilitat de les empreses propietàries d'aquestes marques. En les dos primeres publicacions es desenvolupen models matemàtics d'estimació del valor de marca, utilitzant únicament la informació económico-financera de les empreses. En la tercera publicació s'analitza el grau de similitud dels rànquings de sostenibilitat d'accés obert més importants que han aparegut en l'última dècada, per a determinar si incorporen de facto les marques millors valorades del sector tecnològic. I, finalment, en la quarta publicació es desevolupen models matemàtics que expliquen diferents tipus de resultats de les empreses en funció de la transparència en matèria de sostenibilitat de les companyies propietàries de les marques. En les quatre publicacions presentades, la mostra és comú i està formada per un total de tretze marques del sector tecnològic: Accenture, Apple, Cisco, Facebook, Google, HP, IBM, Intel, Microsoft, Oracle, Samsung, SAP i Sony. Aquestes marques són les millor valorades del sector de la tecnologia en el període 2000-2018 segons els rànquings internacionals de valoració de marques (Interbrand, Brand Finance i Millward Brown), i han estat al Top-100 en almenys dos d'aquestos rànquins en eixe període. Les conclusions generals de la nostra investigació permeten confirmar que la informació económico-financera és important per explicar el valor de les marques de les empreses tecnològiques. Concretament, sols amb el resultat net de les empreses s'explica prop del 60% del valor de marca proporcionat pels rànquings internacionals. Si al resultat net, s'afig la cotització borsària de les empreses propietàries de les marques, s'arriba a explicar el 80% del valor de les marques. I si, finalment, s'afigen un conjunt de variables económico-financeres, el valor de marca s'aproxima al 90%. D'aquestos resultats, es pot deduir que la proporció restant del valor de marca, entre el 10% i el 40%, (en funció de les variables que s'incloguen en als models), és explicada per la fortalesa de la marca. Aquesta Tesi també evidencia, tant les diferències significatives entre les valoracions de marca proporcionades per les consultores de valoració de marques, com les diferències entre les valoracions de sostenibilitat proporcionades pels rànquings de RSC d'accés obert, i al mateix temps, les diferències entre ambdós tipus de valoracions; ja que, les empreses amb les marques més reconegudes mundialment, no són les que major consciència socioambiental tenen. Finalment, s'observa que les grans empreses són més transparents en termes de sostenibilitat, però aquesta transparència només es relaciona amb altres resultats econòmics com l'increment dels actius, dels ingressos, l'apalacament, el ROE o el ROA. A més, es mostra que els tres pilars de la RSC són utilitzats per les consultores per determinar el valor de marca, mentre que els rànquings de RSC només utilitzen la transparència en els aspectes socials i ambientals. / [EN] This PhD Thesis, developed as a compendium of four publications, aims at the value of brands in the new technology sector and the sustainability of the companies that own these brands. In the first two publications, mathematical models for estimating brand value are developed, using only the economic-financial information of the companies. The third publication analyzes the degree of similarity of the most important open access sustainability rankings that have emerged in the last decade, to determine if they incorporate de facto the best valued brands in the technology sector. And finally, in the fourth publication, mathematical models are developed to explain different types of business results based on transparency in terms of sustainability of the companies that own the brands. In the four publications presented, the sample is common and consists of a total of thirteen brands in the technology sector: Accenture, Apple, Cisco, Facebook, Google, HP, IBM, Intel, Microsoft, Oracle, Samsung, SAP and Sony. These brands are the best valued in the technology sector in the 2000-2018 period according to the international brand valuation rankings (Interbrand, Brand Finance and Millward Brown), and have remained in the Top-100 of at least two of these rankings in that period. The general conclusions of our research allow us to confirm that economic-financial information is important to explain the value of the brands of technology companies. Specifically, 60% of the brand value is explained by the net results of the companies, this percentage rises up to 80% when the stock price of the company is added to the net results as explanatory variable of the brand values. Finally, the brand value is explained nearby to 90% when a set of economic-financial variables are added. From these results, it can be deduced that the remaining proportion of the brand value, between 10% and 40%, (depending on the variables included in the models), is explained by the strength of the brand. This thesis also evidences, both the significant differences between the brand valuations provided by the brand valuation consultancy agencies, but also the differences between the sustainability valuations provided by the open access CSR rankings; in addition, the thesis shows the existing differences between these two types of valuations. Thus, companies with the most recognized brands worldwide are not the ones with the highest socio-environmental awareness. Finally, it is observed that large companies are more transparent in terms of sustainability, but this transparency is hardly related to other economic results such as the increase in assets, income, leverage, ROE or ROA. In addition, it is shown that the three pillars of the RSC are employed by the consultancy agencies to determine the brand value, while the CSR rankings only provide transparency in social and environmental aspects. / Alcaide González, MÁ. (2020). Modelos de valoración de marcas del sector tecnológico y la responsabilidad social corporativa [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/139141 / TESIS

L'objet de la présente thèse concerne l'étude de l'impact économique de trois modalités démocratiques, à savoir (i) l'agenda électoral, (ii) l'affiliation partisane des dirigeants en place dans un cadre de multipartisme, et (iii) les changements de gouvernance constitutionnellement définis. Afin d'introduire notre étude, nous décrivons la relation qui existe entre les modalités démocratiques et la démocratie directe d'une part et la politique budgétaire d'autre part, aux Etats-Unis sur la période 1790-2014 dans l'Introduction Générale. Dans le Chapitre 2 nous étudions l'effet authentique et potentiellement néfaste des cycles politico-budgétaires. Notre méta-analyse suggère que les dirigeants nationaux manipulent effectivement le budget dans un but de réélection mais l'ampleur du phénomène est largement exagérée par la littérature. Toutefois, le biais de publication mis en lumière s'est significativement réduit lors des 25 dernières années de recherches. Dans le Chapitre 3 nous étudions comment l'affiliation partisane des gouverneurs américains affecte le statut de pauvreté des immigrants, aux Etats-Unis, sur la période 1994-2014. Pour ce faire, nous comparons le niveau de pauvreté des immigrants dans les Etats gouvernés par les Démocrates au niveau de pauvreté des immigrants constaté dans les Etats gouvernés par les Républicains. En accord avec la littérature sur l'affiliation partisane, nous trouvons que les immigrants ont plus d'opportunités de sortir de la pauvreté sous les Démocrates que sous les Républicains. Une analyse formelle de médiation révèle que nos résultats empiriques sont médiatisés par un meilleur accès au marché du travail et possiblement de meilleures rétributions du travail, pour les immigrants. Dans le Chapitre 4 nous cherchons à vérifier l'évolution des notations souveraines lors des périodes d'inauguration des nouveaux dirigeants sur un échantillon de 18 pays d'Amérique Latine et des Caraïbes ayant des systèmes présidentiels. A partir de données de panel journalières s'étendant du 1er janvier 1994 au 31 décembre 2014, nous trouvons que les notations souveraines sont de meilleure qualité durant les périodes d'inauguration anticipées comparées aux autres périodes d'inauguration. En outre, nos résultats montrent que durant ces périodes d'inauguration anticipées, les notations sont encore meilleures lorsque le dirigeant entrant (i) est économiquement de droite, (ii) dispose d'un diplôme universitaire d'un pays de l'OCDE, (iii) a un parcours professionnel traditionnel, (iv) a une approche non populiste, et (v) dispose de marges électorales de victoire importantes. Il apparaît également un biais de genre potentiel à la faveur des nouveaux dirigeants de sexe masculin. En prenant avantage d'un modèle de durée et de régressions de Cox -- modèle à risque proportionnel, nous mettons en lumière que les périodes d'inauguration des dirigeants affectent également la probabilité instantanée de dégradation des notations souveraines. Enfin, dans la Conclusion Générale nous explorons les racines des pensées antisystèmes en Occident, puis nous discutons des avantages et inconvénients de quelques formes alternatives de démocratie, à savoir (i) la démocratie directe, (ii) le tirage au sort, et (iii) le développement participatif comme bien public. Finalement, nous explorons les controverses concernant les formes alternatives de démocratie sur l'agora virtuelle que constitue Twitter. / The aim of the present dissertation is to empirically investigate the economic impact of three democratic modalities, namely (i) the electoral agenda; (ii) the partisan affiliation of incumbents in a multipartism framework; and (iii) constitutionally defined leadership changes. To introduce the scope of the dissertation we describe the democratic modalities and direct democracy behind the U.S. fiscal policy from 1790 to 2014, in the General Introduction.In Chapter 2 we study the genuine detrimental effect of political budget cycles. Our meta-analysis suggests that national leaders do manipulate fiscal tools in order to be re-elected, but to an extent that is significantly exaggerated in the literature. The publication selection bias highlighted has nonetheless been reduced during the past 25 years of research. In Chapter 3 we investigate how governors' partisan affiliation affects the poverty status of immigrants to the U.S for the period 1994-2014. To this end, we compare the poverty outcomes of immigrants in states ruled by Democratic governors relative to the outcomes for those in states ruled by Republican governors. Consistent with the literature on partisan affiliation, we find that immigrants are more likely to get out of poverty in states with Democratic governors than states with Republican governors. A formal mediation analysis reveals that the empirical results are mediated through better access to the labor market and possibly through higher wages and labor earnings for immigrants. In Chapter 4 we assess whether sovereign credit ratings change during the inauguration periods of incoming leaders, on a sample of 18 Latin American and Caribbean countries with presidential systems. Building on a daily panel dataset covering the period from January 1, 1994 to December 31, 2014, we find that credit ratings are better during anticipated inauguration periods compared to other inauguration periods. Moreover, our results reveal that, during anticipated inauguration periods, incoming leaders with (i) an economically right-wing orientation; (ii) an OECD college degree; (iii) a traditional professional background; (iv) a non-populist approach; and (v) large electoral margins of victory are associated to even better ratings. There also appears to be a potential gender bias effect in favor of male incoming leaders. Last but not least, the quality of the credit rating also matters. In the General Conclusion we explore the roots of anti-systemism in the West, then we discuss some alternative forms of democracy, and we explore the controversies regarding the alternative forms of democracy on the virtual \emph{agora} of Twitter.

Many analysts believe that problems in the U.S. housing market initiated the 2008–2010 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry by causing the failure of many iconic Wall Street investment banks and prominent depository institutions. This crisis stymied credit extension to households and businesses thus creating credit crunches and, ultimately, a global recession. This thesis specifically discusses the SMC and its components, causes, consequences and cures in relation to subprime mortgages, securitization, as well as data. In particular, the SMC has highlighted the fact that risk, credit ratings, profit and valuation as well as capital regulation are important banking considerations. With regard to risk, the thesis discusses credit (including counterparty), market (including interest rate, basis, prepayment, liquidity and price), tranching (including maturity mismatch and synthetic), operational (including house appraisal, valuation and compensation) and systemic (including maturity transformation) risks. The thesis introduces the IDIOM hypothesis that postulates that the SMC was largely caused by the intricacy and design of subprime agents, mortgage origination and securitization that led to information problems (loss, asymmetry and contagion), valuation opaqueness and ineffective risk mitigation. It also contains appropriate examples, discussions, timelines as well as appendices about the main results on the aforementioned topics. Numerous references point to the material not covered in the thesis, and indicate some avenues for further research. In the thesis, the primary subprime agents that we consider are house appraisers (HAs), mortgage brokers (MBs), mortgagors (MRs), servicers (SRs), SOR mortgage insurers (SOMIs), trustees, underwriters, credit rating agencies (CRAs), credit enhancement providers (CEPs) and monoline insurers (MLIs). Furthermore, the banks that we study are subprime interbank lenders (SILs), subprime originators (SORs), subprime dealer banks (SDBs) and their special purpose vehicles (SPVs) such as Wall Street investment banks and their special structures as well as subprime investing banks (SIBs). The main components of the SMC are MRs, the housing market, SDBs/hedge funds/money market funds/SIBs, the economy as well as the government (G) and central banks. Here, G either plays a regulatory or policymaking role. Most of the aforementioned agents and banks are assumed to be risk neutral with SOR being the exception since it can be risk (and regret) averse on occasion. The main aspects of the SMC - subprime mortgages, securitization, as well as data - that we cover in this thesis and the chapters in which they are found are outlined below. In Chapter 2, we discuss the dynamics of subprime SORs' risk and profit as well as their valuation under mortgage origination. In particular, we model subprime mortgages that are able to fully amortize, voluntarily prepay or default and construct a discrete–time model for SOR risk and profit incorporating costs of funds and mortgage insurance as well as mortgage losses. In addition, we show how high loan–to–value ratios due to declining housing prices curtailed the refinancing of subprime mortgages, while low ratios imply favorable house equity for subprime MRs. Chapter 3 investigates the securitization of subprime mortgages into structured mortgage products such as subprime residential mortgage–backed securities (RMBSs) and collateralized debt obligations (CDOs). In this regard, our discussions focus on information, risk and valuation as well as the role of capital under RMBSs and RMBS CDOs. Our research supports the view that incentives to monitor mortgages has been all but removed when changing from a traditional mortgage model to a subprime mortgage model. In the latter context, we provide formulas for IB's profit and valuation under RMBSs and RMBS CDOs. This is illustrated via several examples. Chapter 3 also explores the relationship between mortgage securitization and capital under Basel regulation and the SMC. This involves studying bank credit and capital under the Basel II paradigm where risk–weights vary. Further issues dealt with are the quantity and pricing of RMBSs, RMBS CDOs as well as capital under Basel regulation. Furthermore, we investigate subprime RMBSs and their rates with slack and holding constraints. Also, we examine the effect of SMC–induced credit rating shocks in future periods on subprime RMBSs and RMBS payout rates. A key problem is whether Basel capital regulation exacerbated the SMC. Very importantly, the thesis answers this question in the affirmative. Chapter 4 explores issues related to subprime data. In particular, we present mortgage and securitization level data and forge connections with the results presented in Chapters 2 and 3. The work presented in this thesis is based on 2 peer–reviewed chapters in books (see [99] and [104]), 2 peer–reviewed international journal articles (see [48] and [101]), and 2 peer–reviewed conference proceeding papers (see [102] and [103]). / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.

Many analysts believe that problems in the U.S. housing market initiated the 2008–2010 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry by causing the failure of many iconic Wall Street investment banks and prominent depository institutions. This crisis stymied credit extension to households and businesses thus creating credit crunches and, ultimately, a global recession. This thesis specifically discusses the SMC and its components, causes, consequences and cures in relation to subprime mortgages, securitization, as well as data. In particular, the SMC has highlighted the fact that risk, credit ratings, profit and valuation as well as capital regulation are important banking considerations. With regard to risk, the thesis discusses credit (including counterparty), market (including interest rate, basis, prepayment, liquidity and price), tranching (including maturity mismatch and synthetic), operational (including house appraisal, valuation and compensation) and systemic (including maturity transformation) risks. The thesis introduces the IDIOM hypothesis that postulates that the SMC was largely caused by the intricacy and design of subprime agents, mortgage origination and securitization that led to information problems (loss, asymmetry and contagion), valuation opaqueness and ineffective risk mitigation. It also contains appropriate examples, discussions, timelines as well as appendices about the main results on the aforementioned topics. Numerous references point to the material not covered in the thesis, and indicate some avenues for further research. In the thesis, the primary subprime agents that we consider are house appraisers (HAs), mortgage brokers (MBs), mortgagors (MRs), servicers (SRs), SOR mortgage insurers (SOMIs), trustees, underwriters, credit rating agencies (CRAs), credit enhancement providers (CEPs) and monoline insurers (MLIs). Furthermore, the banks that we study are subprime interbank lenders (SILs), subprime originators (SORs), subprime dealer banks (SDBs) and their special purpose vehicles (SPVs) such as Wall Street investment banks and their special structures as well as subprime investing banks (SIBs). The main components of the SMC are MRs, the housing market, SDBs/hedge funds/money market funds/SIBs, the economy as well as the government (G) and central banks. Here, G either plays a regulatory or policymaking role. Most of the aforementioned agents and banks are assumed to be risk neutral with SOR being the exception since it can be risk (and regret) averse on occasion. The main aspects of the SMC - subprime mortgages, securitization, as well as data - that we cover in this thesis and the chapters in which they are found are outlined below. In Chapter 2, we discuss the dynamics of subprime SORs' risk and profit as well as their valuation under mortgage origination. In particular, we model subprime mortgages that are able to fully amortize, voluntarily prepay or default and construct a discrete–time model for SOR risk and profit incorporating costs of funds and mortgage insurance as well as mortgage losses. In addition, we show how high loan–to–value ratios due to declining housing prices curtailed the refinancing of subprime mortgages, while low ratios imply favorable house equity for subprime MRs. Chapter 3 investigates the securitization of subprime mortgages into structured mortgage products such as subprime residential mortgage–backed securities (RMBSs) and collateralized debt obligations (CDOs). In this regard, our discussions focus on information, risk and valuation as well as the role of capital under RMBSs and RMBS CDOs. Our research supports the view that incentives to monitor mortgages has been all but removed when changing from a traditional mortgage model to a subprime mortgage model. In the latter context, we provide formulas for IB's profit and valuation under RMBSs and RMBS CDOs. This is illustrated via several examples. Chapter 3 also explores the relationship between mortgage securitization and capital under Basel regulation and the SMC. This involves studying bank credit and capital under the Basel II paradigm where risk–weights vary. Further issues dealt with are the quantity and pricing of RMBSs, RMBS CDOs as well as capital under Basel regulation. Furthermore, we investigate subprime RMBSs and their rates with slack and holding constraints. Also, we examine the effect of SMC–induced credit rating shocks in future periods on subprime RMBSs and RMBS payout rates. A key problem is whether Basel capital regulation exacerbated the SMC. Very importantly, the thesis answers this question in the affirmative. Chapter 4 explores issues related to subprime data. In particular, we present mortgage and securitization level data and forge connections with the results presented in Chapters 2 and 3. The work presented in this thesis is based on 2 peer–reviewed chapters in books (see [99] and [104]), 2 peer–reviewed international journal articles (see [48] and [101]), and 2 peer–reviewed conference proceeding papers (see [102] and [103]). / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.

The thesis examined the comprehensive causal relationship between the banking sector, stock market development and economic growth in a multi-variate framework using Zimbabwean time series data from 1988 to 2015. Three banking sector development proxies (total financial sector credit, banking credit to private sector and broad money M3) and three stock market development proxies (stock market capitalization, value traded and turnover ratio) were employed to estimate both long and short run relationships between banking sector, stock market and economic growth in Zimbabwe. The study employs the vector error correction model (VECM) as the main estimation technique and the autoregressive distributed lag (ARDL) approach as a robustness testing technique. Results showed that in Zimbabwe a significant causal relationship from banking sector and stock market development to economic growth exists in the long run without any feedback effects. In the short run, however, a negative yet statistically significant causal relationship runs from economic growth to banking sector and stock market development in Zimbabwe. The study further concludes that there is a unidirectional causal relationship running from stock market development to banking sector development in Zimbabwe in both short and long run periods. Nonetheless this relationship between banking sector and stock markets has been found to be more significant in the short run than in the long run. The thesis adopts the complementary view and recommends for the spontaneity implementation of monetary policies as the economy grows. Monetary authorities should thus formulate policies to promote both banks and stock markets with corresponding growth in Zimbabwe’s economy. / Business Management / M. Com. (Business Management)

The objective of this research is to investigate the existence of structural changes in unsecured lending time series data and analyse the impact thereof on trends in consumer demand for unsecured credit spanning the years from 2008 to 2015. This is achieved by identifying dates when structural changes occurred over this period. The identified structural break date is linked to an influential economic event or monetary policy change that took place in South Africa of which the impact on three unsecured credit categories are analysed. Unsecured credit growth in South Africa has been subjected to intensive scrutiny since the inception of the National Credit Act (Act No. 34 of 2005) by various regulatory bodies. In 2012 the National Credit Regulator (NCR) commissioned a research study into examining the impact that the National Credit Act (Act No. 34 of 2005) has had on the consumer credit market. The empirical part of this study involved the gathering of time series data on unsecured loans approved, unsecured credit granted per income category and unsecured credit granted from the National Credit Regulator (NCR) database and performing descriptive and econometric analysis. The Zivot-Andrews (1992) and augmented Dickey-Fuller tests determined the break dates which were linked to a significant economic event while the one sample t-test of means compared average loan values before and after the break date. Results of the study indicate that the break dates determined coincided with economic events and monetary policy changes in South Africa, such as the collapse of African Bank, the implementation of the National Credit Amendment Act, prime interest rate movements and the introduction of a debt counselling program by the government. These events, coupled with stricter lending criteria and no further loans being granted to customers already more than three months in arrears, restrained the uptake of unsecured loans to lower and middle income groups. The introduction of new affordability criteria and increasing interest rates in 2014 further negatively impacted demand for unsecured loans. However, higher income earners had the advantage of being able to apply for higher loan amounts. Findings could be used by monetary policymakers and financial institutions to constantly monitor credit trends, improve credit assessment techniques and review lending criteria. / Business Management / M. Com. (Financial Management)