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Hypoteční krize v USA v první dekádě 21. století / Mortgage Crisis in the USA during the First Decade of the 21st CenturyOsička, Štěpán January 2009 (has links)
The aim of this diploma thesis is an analysis of the contemporary mortgage crisis in the USA. The thesis consists of four sections. The first part describes historical developments of the American mortgage market with the emphasis on securitization. The second chapter deals with the market failures occurring within the securitization process. The third chapter is dedicated to the primary mortgage market, in particular to the causes of the previous credit boom, "running" house prices. Moreover, this chapter analyzes the "subprime" and "Alt-A" mortgage market, their products and practices prevailing on these markets. The last chapter is devoted to the secondary mortgage markets. The aim of this chapter is to describe how "subprime" and "Alt-A" mortgage deals were structured. The case study offers an example and its results are presented.
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The subprime mortgage crisis : asset securitization and interbank lending / M.P. MulaudziMulaudzi, Mmboniseni Phanuel January 2009 (has links)
Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4.
In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky.
Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans.
In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR).
Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC.
The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.
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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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The subprime mortgage crisis : asset securitization and interbank lending / M.P. MulaudziMulaudzi, Mmboniseni Phanuel January 2009 (has links)
Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4.
In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky.
Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans.
In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR).
Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC.
The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal. / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.
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The effects of financial liberalisation in emerging market economiesChauhan, Shobha 01 1900 (has links)
The aim of this research is to show the effects of financial liberalisation on emerging market economies, how these economies removed restrictions on financial institutions so that they can be globally integrated, and to show the flow of international finance in and out of a country. This research also illustrates how the financial system in these economies moved from being government-led to being market-led. The main finding of this research is that many countries failed to reap the benefits of liberalisation because of weaknesses in the regulatory structure, undercapitalised banks, volatile markets and contagion effects. The research concludes that the long-term gains of liberalisation certainly supersede short-term instability of liberalisation. Thus, for financial liberalisation to have predominantly positive effects, attention should be drawn to the importance of a more prudent regulatory and supervisory environment. Furthermore, financial liberalisation must be accompanied by a sound institutional infrastructure, proper conduct of monetary and fiscal policies, a reduction in corruption, and an increase in transparency. In addition, liberalisation should be a gradual process whereby the right measures are taken in the right sequence. / Economics / M. Comm. (Economics)
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The effects of financial liberalisation in emerging market economiesChauhan, Shobha 01 1900 (has links)
The aim of this research is to show the effects of financial liberalisation on emerging market economies, how these economies removed restrictions on financial institutions so that they can be globally integrated, and to show the flow of international finance in and out of a country. This research also illustrates how the financial system in these economies moved from being government-led to being market-led. The main finding of this research is that many countries failed to reap the benefits of liberalisation because of weaknesses in the regulatory structure, undercapitalised banks, volatile markets and contagion effects. The research concludes that the long-term gains of liberalisation certainly supersede short-term instability of liberalisation. Thus, for financial liberalisation to have predominantly positive effects, attention should be drawn to the importance of a more prudent regulatory and supervisory environment. Furthermore, financial liberalisation must be accompanied by a sound institutional infrastructure, proper conduct of monetary and fiscal policies, a reduction in corruption, and an increase in transparency. In addition, liberalisation should be a gradual process whereby the right measures are taken in the right sequence. / Economics / M. Com. (Economics)
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