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A guide to asset securitisation in South AfricaOlivier, Albert 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Enormous growth has been experienced in the South African securitisation
environment due to the lack of Government bond issues. There is little doubt that
securitisation is still in its early stages in South Africa, but it is here to stay. Asset
securitisation can be described as the process of pooling and repackaging non
tradable assets secured by relatively uniform, small value assets into liquid securities.
The original form of asset securitisation is mortgage backed securities. The success
achieved in the securitisation of mortgage loans globally resulted in the securitisation
of other types of asset backed securities. Auto loans, credit card receivables and
synthetic securitisation have attracted substantial interest in South Africa in the
recent past. Synthetic securitisation is becoming an increasingly important topic
following the focus of financial institutions to manage regulatory and risk capital.
Each securitisation transaction can be structured in such a way to demonstrate
specific cash flow characteristics, risk profiles or average life parameters.
Securitisation structures include several entities, with each playing a distinct role.
The originator is the entity which creates the underlying asset pool. The asset pool is
then sold to a SPV, which is a bankruptcy remote vehicle through which the
securitisation transaction is facilitated. The SPV will sell securities backed by the
asset pool to investors. The proceeds of the issue are used to finance the purchase
of the asset pool from the originator. The SPV appoints a servicer that administers
the asset pool on behalf of the issuer in return for a fee.
The South African legal and tax environment is currently undergoing a transformation
in order to accommodate the growing interest in securitisation. Precedents regarding
the taxation of securitisation structures are still lacking in South Africa. Both legal
and taxation issues around securitisation transactions are likely to change over the
coming years.
The South African securitisation market still needs to be improved significantly ahead
of being classified as world class. The lack of familiarity among investors involved in securitisation is keeping the market from growing to its full potential. Investor
education and the documentation of deal information are crucial. The growth of
securitisation issues is necessary to increase volumes and in turn enhance liquidity.
Knowledge, volumes and regulations regarding securitisation are certainly lacking in
South Africa, and though this may slow growth, it will most definitely not prevent the
business from rapidly expanding. / AFRIKAANSE OPSOMMING: Die tekort aan staatseffekte in Suid Afrika is een van die redes wat gelei het tot die
groei van die Suid Afrikaanse bate effekte mark. Alhoewel bate effektering nog 'n
nuwe konsep in Suid Afrika is, het die finansiele markte in Suid Afrika effektering
aanvaar en groot belangstelling word getoon deur beide finansiele instellings en
beleggers. Bate effektering kan beskryf word as die proses waar onverhandelbare
bates saam gegroepeer word en omskep word in likiede sekuriteite wat in die ope
mark verhandel kan word.
Bate effektering het sy oorsprong in die Verenigde State van Amerika gehad, waar
verbandlenings ge-effekteer is. Groot suksesse is behaal en ander vorme van bates
is vinnig ge-effekteer en aan die mark gebied. In Suid Afrika is verskillende vorme
van effektering al aangetref, die nuutste en mees opwindenste is egter sintetiese
effektering.
Effektering sluit verskillende entiteite in, en elkeen speel 'n baie spesifieke rol.
Kortliks is die proses soos hierna beskryf. Die bates word deur die oorspronklike
eienaar aan 'n spesiale doel voertuig verkoop. Die spesiale doel voertuig is
heeltemal onafhanklik van ander eenhede in die effekteringsstruktuur en finansiele
probleme in die struktuur het geen effek op die kredietwaardigheid van die spesiale
doel voertuig nie. Die spesiale doel voetuig verkoop effekte aan beleggers, en die
inkomste ontvang van beleggers befonds die aankoop van die poel bates van die
oorspronklike eienaar. Die spesiale doel voertuig word gediens en onderhou deur 'n
diens verskaffer in ruil vir 'n kontraktuele vergoeding.
Die Suid Akrikaanse finansiële markte is tans besig om 'n transformasie proses te
ondergaan om effektering te akkomodeer, die fokus is veral op wetlike en belasting
aspekte. Alhoewel baie veranderinge al plaasgevind het, sal daar nog baie gedoen
moet word voor die Suid Afrikaanse mark as wereld-klas geklassifiseer kan word.
Ongelukkig is beleggers nog onbekend met effektering en daarom weerhou dit die
mark van vinnige ontwikkeling.
Kortom, kennis, volumes en duideliker regulasies wat betrekking het op effektering is
definitief nodig in Suid Afrika, en alhoewel dit groei verstadig, sal dit definitief nie die
nuwe finansiële instrument keer om tot een van Suid Afrika se vooraanstaande
finansiële instrumente te ontwikkel nie.
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Sekiuritizacijos metodo taikymo galimybės Lietuvos komerciniuose bankuose / Securitisation method application in lithuanian commercial banksRutkauskas, Jonas 25 June 2014 (has links)
Darbo aktualumas. Šių dienų nestabili Lietuvos ekonominė padėtis, konkurencijos didėjimas, užsienio bankų skverbimasis į Lietuvos bankinę rinką verčia bankus atkreipti dėmesį ne tik į savo vystomos veiklos kokybę, bet ir spręsti uždavinius: kaip pritraukti pinigus, kad bankai galėtų užtikrinti likvidumą ir teikti paskolas klientams. Pastaroji 2007 m. krizė finansų rinkose taip pat reikalauja didesnio bankų dėmesio efektyviam banko likvidumo rizikos įvertinimui bei valdymui. ES, finansų specialistų bei mokslininkų dėmesys yra nukreiptas į naujus bankų lėšų pritraukimo būdus, siekiant užtikrinti likvidumui ir plėtoti tolimesnę veiklą. Darbo objektas – Sekiuritizacijos metodas Lietuvoje. Darbo tikslas – Nustatyti sekiuritizacijos metodo pritaikymo galimybes Lietuvos komerciniuose bankuose. Šiam tikslui pasiekti iškelti darbo uždaviniai: 1. Apibrėžus sekiuritizaciją, jos kūrimo procesą, nustatyti šio metodo naudą ir pranašumus, lyginant su klasikiniais bankų finansavimo šatiniais. 2. Atlikti sekiuritizacijos aplinkos analizę ES komercinių bankų ir finansų sistemos rodiklių pagrindu. 3. Atlikti LR teisės aktų ir VP rinkos tyrimus, išanalizuoti Lietuvos komercinių bankų finansinę padėtį, remiantis bankų likvidumo rodikliais ir pagrįsti sudaryto Sekiuritizacijos metodo pritaikymą Lietuvoje. Darbo struktūra. Darbą sudaro 3 pagrindinės dalys. Pirmojoje dalyje apžvelgiamas sekiuritizacijos metodas, principinė schema, parodanti kokiu būdu nelikvidus bankų turtas paverčiamas pinigais... [toliau žr. visą tekstą] / Work topicality. In these days, an unstable economic situation in Lithuania, increasing of competition, foreign banks' penetration in the Lithuanian banking market, forcing banks to pay attention not only to the activities developed in its quality, but also the challenges: how to raise money so the banks can provide liquidity and lending to customers. The crisis of 2007 in the financial market is also requiring for greater attention of banks for effective emphasis on banks' liquidity risk assessment and management. EU, financial professionals and researchers are focused in to new ways of raising banks assets to ensure liquidity and to develop further activities. Work object – Method of securitization in Lithuania. Work aim – Identify the opportunities to adapt the method of securitization in Lithuanian commercial banks. Work tasks to achieve this aim: 1. Define the securitization, its development process, determine the benefits and advantages of the method compared with the classical bank financing satin. 2. Make securitization environmental analysis of the EU's commercial banking and financial system based on indicators. 3. To make a research of RL legislation and securities market research, to analyze Lithuanian commercial banks 'financial position, based on banks' liquidity and justify the adaptation of the securitization method in Lithuania. Work structure. The work consists of three main parts. The first section gives an overview securitization method and of diagrams... [to full text]
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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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Quantitative Easing and its impact on wealth inequality / Quantitative Easing and its Impact on Wealth InequalityLazar, Stefan-Alexandru January 2015 (has links)
The aim of this thesis is to show how the unconventional monetary policy rounds of Quantitative Easing introduced in the United States between 2008 and 2014 have led to an increase in wealth inequality. The need for the thesis arises due to the uncharted nature of QE and because of more and more information is surfacing to light which points to this connection. By analysing the distribution of these funds and adding it to the then base distribution of money supply, this study was able to determine a significant 10 % increase in the Gini Index. Furthermore it highlights how a large portion of wealth was transferred from the middle class over to the top 5 % income households. Starting from a set of assumptions the calculation is performed by extrapolating the data required and by isolating the system from any external variables. The result is a theoretical model meant to describe the mechanism that links Quantitative Easing to wealth inequality. Moreover a detailed comparison is provided with the effect of a conventional monetary policy such as Open-Market Operations. Finally solutions to this issue are being discussed from economical, political and fiscal standpoints.
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關於信用集中度風險的兩篇論述 / Two Essays on Credit Concentration Risk傅信豪, Fu, Hsin Hao Unknown Date (has links)
【第一篇論文中文摘要】
集中度風險於結構式商品的量化與分析:以房屋抵押貸款證券為例
"Martin and Wilde (2002)與Gordy (2003)" 針對巴塞爾協定(Basel Accords)中金融機構之投資組合所內藴之集中度風險提出了相對應的微粒化調整(Granularity Adjustment)風險量化準則,然而該模型僅止於單因子架構下探究單一信用標的集中度風險之量化。本文將其架構延用至結構式商品中,允許債權群組內之信用標的具不同區域別,我們採用Hull and White(2010)之跨池違約相關性描述,並結合Pykhtin (2004)中延拓單因子聯繫模型至多因子之方式,進而求取債權群組之單一資產集中度(Name Concentration)與區域類別集中度(Sector Concentration)風險的量化。本文以房屋抵押貸款證券(Mortgage Backed Securities, MBSs)為例,於集中度風險的考量下,藉由檢視不同風險情境下分券之損失起賠點,重新評估房屋抵押貸款證券AAA投資級分券信用評級之合理性。研究結果顯示,AAA評等之分券高度曝險於系統性風險,且於高風險情境下,標的房貸之區域集中現象擴大了違約相關性對債權群組損失分配的影響,致使AAA分券之損失起賠點得以超過其實際擔保額度(subordination)範圍。
【第二篇論文中文摘要】
美國銀行放款多角化對其報酬與風險之影響:相關性與傳染的觀點
本文目的在於分析銀行放款的多角化行為對其報酬與風險之影響。研究發現納入銀行放款投資組合相關性之考量,亦即標的資產之相關性結構以及資產間因契約關係所隱含跨投資組合之傳染途徑,將降低多角化之成效。文中透過因子模型(factor model)建構資產之報酬,同時決定其相關性結構,其中將資產間殘差項相關性作為傳染指標,進一步分析投資組合內標的資產間的平均相關係數、傳染與多角化程度間的關聯性。我們以美國銀行作為研究樣本,分別以赫芬達-赫希曼指數估算投資組合權重分配之集中度、使用組合內標的產業股票報酬資訊來計算投資組合內相關程度,接著利用標的產業與投資組合外產業間的殘差相關性來捕捉產業傳染效果,將此三項指標作為衡量多角化指標,分析其在1987年至2014年間聯貸投資組合多角化情形並試圖分析放款多角化對銀行績效之影響。透過契約關係的界定進而探討顧客傳染如何影響銀行績效。
研究發現於市場處於平穩期間(tranquil period),所有多角化指標銀行放款均呈現放款多角化程度越高越有助於提高銀行的報酬並降低其風險。然而於危機期間(turmoil period),銀行應將放款權重集中於部分產業、建構相關性較低之組合或選擇較低之傳染效果之產業作為放款的對象,用以提高銀行績效。隱含在危機期間銀行應該選擇適度之多角化策略,若僅以赫芬達-赫希曼指數作為多角化之衡量將顯示危機期間越集中越有助於銀行的表現,此舉將造成解釋上的偏誤。說明於投資組合多角化的衡量上,不該忽略由相關性結構所引發之集中度風險。 / 【Essay I】
Quantification and Analysis of Concentration Risk in Structured Products: the Case of Mortgage Backed Securities
Granularity adjustments, introduced by Martin and While (2002) and Gordy (2003), allow one to quantify the concentration exposures of credit portfolios due to imperfect diversification. However, they focus solely on name concentrations under an Asymptotic Single Risk Factor (ASRF) framework. In this study, by adapting the multi-pool correlation structure of Hull and White (2010) under the multi-factor setting of Pykhtin (2004), we derive quantitative measures of name and sector concentration that facilitate subsequent analysis of the risk profiles embedded in Mortgage Backed Securities (MBSs). Under different stress scenarios, we examine the impacts of concentration exposures on the internal credit enhancements, in particular, the AAA tranche attachment points. We show that, under severe market conditions, the presence of sector concentrations in the underlying mortgage pools can further amplify the effects of default correlation on the portfolio loss distributions. As a direct consequence, the predetermined subordination level determined by the assignment of tranche attachment points can be exceeded.
【Essay II】
How Loan Portfolio Diversification Affects U.S. Banks’ Return and Risk: Correlation and Contagion Perspectives.
In this paper we investigate how loan portfolio diversification affects the banks’ return and risk. We argue that, the dependence structure of bank loan portfolios, namely, the correlation structure among loan assets and the presence of contagion channels due to contractual relationships across the border of portfolio, contributes to the costs of diversification. Under the factor model framework, we derive a theoretical model to depict the asset returns and their dependence structure. Based on data of US bank loans collected from 1987-2014, our empirical study employs HHI, intra-portfolio correlation, and contagion as proxies for diversification to examine how loan portfolio diversification affects the banks’ profitability and riskiness. In addition, contractual relationships are identified and we investigate how customer contagion affects the bank’s performance. We find that all diversification measures exhibit a positive effect on the performance of U.S. banks during tranquil periods. However, for turmoil periods, banks with loan portfolios of more concentrated weight distributions, lower intra-portfolio correlation, or lower consumer contagion effects would have improved returns and reduced risk. In other words, during crisis, banks should choose an appropriate concentration strategy rather than focus on selected industries as determined solely by the HHI.
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Residential mortgage loan securitization and the subprime crisis / S. ThomasThomas, Soby January 2010 (has links)
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.
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Residential mortgage loan securitization and the subprime crisis / S. ThomasThomas, Soby January 2010 (has links)
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.
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