A topical issue in financial economics is the development of appropriate stochastic dynamic models for banking items and behavior. The issue here is to fulfil the need to generalize the more traditional discrete-time models of banking activity to a Levy process setting. In this thesis, under the assumption that the loan market is imperfectly competitive, we investigate the evolution of banking items such as bank assets (cash, bonds, shares, Treasuries, reserves, loans and intangible assets), liabilities (demand deposits) and bank capital (bank equity, subordinate debt and loan loss reserves). Here we consider the influence of macroeconomic factors and profitability as well as its indicators return on assets (ROA) and return on equity (ROE). As far as bank assets are concerned, we note that loan pricing models usually reflect the financial funding cost, risk premium to compensate for the risk of default by the borrower, a premium reflecting market power exercised by the bank and the sensitivity of the cost of capital raised to changes in loans extended. On the other hand, loan losses can be associated with an offsetting expense called the loan loss provision (LLP), which is charged against Nett profit. This offset will reduce reported income but has no impact on taxes, although when the assets are finally written off, a tax-deductible expense is created. An important factor influencing loan loss provisioning is regulation and supervision. Measures of capital adequacy are generally calculated using the book values of assets and equity. The provisioning of loans and their associated write-offs will cause a decline in these capital adequacy measures, and may precipitate increased regulation by bank authorities. Greater level of regulation generally entail additional costs for the bank. Currently, this regulation mainly takes the form of the Basel II Capital Accord that has been implemented on the worldwide basis since 2008. It is clear that bank profitability is a major indicator of financial crises for households, companies and financial institutions. An example of this from the 2007-2008 subprime mortgage crisis (SMC) is the U.S. bank, Wachovia Corp., who reported a big loss as from the first quarter of 2007 and eventually was bought by the world's largest bank, Citigroup, on 29 September 2008. A further example from the SMC is that both the failure of the Lehman Brothers investment bank and the acquisition in September 2008 of Merrill Lynch and Bear Stearns by Bank of America and JP Morgan Chase, respectively, were preceded by a decrease in profitability and an increase in the price of loans and loan losses. The subprime mortgage crisis is characterized by contracted liquidity in the global credit markets and banking system. The level of liquidity in the banking sector affects the ability of banks to meet commitments as they become due without incurring substantial losses from liquidating less liquid assets. Liquidity, therefore, provides the defensive cash or near-cash resources to cover banks' liability. An undervaluation of real risk in the subprime market is cascading, rippling and ultimately severely adversely affecting the world economy. The downturn in the U.S. housing market, risky lending and borrowing practices, and excessive individual and corporate debt levels have caused multiple adverse effects tumbled as the US housing market slumped. Banks worldwide are hoarding cash and showing a growing reluctance to lend, driving rates that institutions charge to each other on loans to record highs. Also, global money markets are inoperative, forcing increased injections of cash from central banks. The crisis has passed through various stages, exposing pervasive weaknesses in the global financial system and regulatory framework. The stochastic dynamics of the aforementioned banking items assist in formulating a maximization problem that involves endogenous variables such as profit consumption, the value of the bank's investment in loans and provisions for loan losses as control variants. In particular, we demonstrate that the bank is able to maximize its expected utility of discounted profit consumption over a random time interval, [t,r], and terminal profit at time r. Here the term profit consumption refers to the consumption of the bank's profits by dividend payments on equity and interest and principal payments on subordinate debt. The associated Hamilton-Jacobi-Bellman (HJB) equation has a smooth solution when the optimal controls are computed by means of power, logarithmic and exponential utility functions. This enables us to make a direct comparison between the economic properties of the solutions for different choices of the utility function. In keeping with the main theme of this thesis, we simulate the financial indices ROE and ROA that are two measures of bank profitability. We further discuss optimization with power utility where we show the convergence of the Markov Chain Approximation Method (MCAM) and the impact of varying the model parameters in the form of loan loss severity, P, and loan loss frequency, <f>. We investigate the connections between the banking models and Basel II capital accord as well as the current subprime mortgage crises. As a way of conclusion, we provide remarks about the main issues discussed in the thesis and speculate about future research directions. The contents of this thesis is based on 3 peer-reviewed journal articles (see [105], [106] and [107]) and 1 peer-reviewed conference proceedings paper (see [104]). In addition, the paper [108] is currently being prepared for submission to an accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2009.

Thesis (B.A.)--Haverford College, Dept. of Economics, 2009. / Includes bibliographical references.

Diss. Universität Duisburg-Essen, 2008. / Business and Economics (German Language) (Springer-11775) (GWV).

Diss. Universität Duisburg-Essen, 2008. / Business and Economics (German Language) (Springer-11775) (GWV).

Thesis (M.Bus)--Unitec New Zealand, 2010. / Includes bibliographical references (leaves 75-79).

The thesis sheds light on key policy issues emerging from the recent Global Financial Crisis. The first chapter studies whether expansionary monetary policy contributes to bank risk-taking, in the case of Asia. I rely on panel data analysis covering 432 banks in 9 Asian countries over the year 2000-2011. The ratio of risky assets to total assets serves as a risk-taking indicator. The results support the existence of the bank risk-taking channel, which is more pronounced for banks listed on the stock market. I also report new findings with respect to how banks take more risk following monetary expansion. Importantly, evidence of excessive leverage is not found. The second chapter constructs a model for analyzing bank risk-taking. I embed firm heterogeneity, endogenous default risk and capital adequacy regulation into both RBC and NK DSGE models. A subset of the firms can partially default on their loans obligation but subject to non-pecuniary default penalty. With those financial frictions in place, I find that standard macroeconomic shocks can induce banks to engage in higher risk-taking. The chapter then explores the effectiveness of several macro-prudential tools in mitigating risk-taking. I find countercyclical capital buffers and risky to total asset ratio targeting to be effective. The third chapter emphasises the spillover effects of shocks originating in the housing and financial market on the real economy. I embed endogenous mortgage default into a New Keynesian model that features housing and the banking sector. The latter faces capital regulation. We study two key shocks, namely shocks to the variance of idiosyncratic housing shock and shocks to the penalty on capital regulation. Both are instrumental in causing a surge in mortgage default and loans risk premium, which constrains bank lending activity. The chapter later introduces three macroprudential measures to explore whether they improve economic stability and welfare.

My graduation theses write about models of back-payment mortgage. I compare situation of Czech Republic and abroad.

Commercial mortgage-backed securitisation (CMBS) is an important development in the South African property finance field. This study explains the characteristics; structure and structuring; advantages, disadvantages and risks; and legal and regulatory aspects of CMBS. Four CMBS programmes have been launched in South Africa to date (August 2006) all of which have been originated by listed Property Loan Stock (PLS) companies. The unique features of the four programmes were examined and the impact on their originators and the listed property sector was analysed. The main participants in the South African CMBS industry were interviewed. CMBS has acted as a catalyst for greater competition between banks resulting in lower interest rates on bank debt and the creation of new property financing products. The introduction of CMBS has benefited not only the four originating PLS companies, but also had a positive impact on the entire listed property sector. / Business Management / M. Com. (Business Management)

O presente trabalho investiga o processo de desenvolvimento do Direito Hipotecário brasileiro, na transição da ausência à consolidação de seu registro público, verificando-se, sobretudo o papel do Código Civil de 1916. A análise histórica dos Direitos Reais é uma importante fonte para a compreensão do desenvolvimento das relações entre pessoas e coisas. Nesse sentido, o estudo histórico da hipoteca no Direito brasileiro permite um exame do embate entre os direitos de propriedade e os direitos de crédito, tornando evidentes elementos sociais, econômicos, da política fundiária e da cultura jurídica do período. Inicialmente, explanou-se sobre o ideário de modernização dos Direito reais, que garantiu a proteção da titularidade individual sobre a propriedade, e sua repercussão no Direito nacional no projeto de modernização do Direito, implementado após a Independência, em 1822. Posteriormente, foram perquiridas as alterações legislativas empreendidas até o Código Civil de 1916, que passaram a prever a publicidade e a especialidade da hipoteca. Por fim, foram efetuadas comparações de dados jurisprudenciais, referentes ao período entre anos de 1912 e 1920. / This text investigates the process of development of the Brazilian Mortgage Law in the transition of its complete lack of registration and the consolidation of its public record, verifying mainly the role of the Civil Code of 1916. The historical analysis of the Property Law is an important source for understanding the development of the relationship between people and things. In this sense, the mortgage history in Brazilian law allows an examination of the conflict between the rights of property and the creditor rights, bringing to light social, economic, land policy and legal culture elements of the period. First, the ideology of modernization of the property rights was explained, which guaranteed the protection of the individual ownership of property, and its impact on national law in the modernization project implemented after independence in 1822. Subsequently, legislative changes undertaken until the Civil Code of 1916 were studied, which begin to provide publicity and specialty to mortgage rights. Finally, comparisons were made between case law data, developed over the years 1912 and 1920.

This thesis deals with the multicriterial decision of the alternatives housing finance. It is divided into two parts - the first one deals with the theoretical definition of the mortgage loans to the individuals as well as it deals the areas of multicriterial decision methods. The second part is devoted to the selection of a suitable bank mortgage loan for the client, based on the methods of multicriterial decision of the options. Selection of the optimal mortgage loan is divided into two different scenarios - buying an apartment and building a house.