Safer ratios, riskier portfolios: Banks׳ response to government aid
Using novel data on bank applications to the Troubled Asset Relief Program (TARP), we
study the effect of government assistance on bank risk taking. Bailed-out banks initiate …
study the effect of government assistance on bank risk taking. Bailed-out banks initiate …
Cyclicality of bank credit growth: Conventional vs Islamic banks in the GCC
Using a panel of 104 banks from the six Gulf Council Countries, we investigate the cyclicality
of credit growth with regard to the discrepancies between Islamic banks and conventional …
of credit growth with regard to the discrepancies between Islamic banks and conventional …
Market discipline and regulatory arbitrage: Evidence from ABCP liquidity guarantors
J Chen - Journal of Banking & Finance, 2022 - Elsevier
We investigate whether the US stock market disciplines asset-backed commercial paper
(ABCP) liquidity guarantors who exploit a regulatory loophole that exempts at least 90% of …
(ABCP) liquidity guarantors who exploit a regulatory loophole that exempts at least 90% of …
Mortgage contract design and systemic risk immunization
G Poitras, G Zanotti - International Review of Financial Analysis, 2016 - Elsevier
This paper provides theoretical results for the design of contracts used in the market for
residential household mortgages and mortgage securities. Critical elements in the problem …
residential household mortgages and mortgage securities. Critical elements in the problem …
Contributions of The Journal of Fixed Income to MBS Analysis.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …
primers about the structure and risk characteristics for the growing number of complex …
[PDF][PDF] Temporal correlation of defaults in subprime securitization
E Hillebrand, AN Sengupta, J Xu - … on Stochastic Analysis, 2012 - repository.lsu.edu
We examine the subprime market beginning with a subprime mortgage, followed by a
portfolio of such mortgages and then a series of such portfolios. We obtain an explicit …
portfolio of such mortgages and then a series of such portfolios. We obtain an explicit …
Evaluation of Mortgage Credit Risk
L Hayre, S Chiluveru - The Journal of Fixed Income, 2012 - search.proquest.com
This article describes a stochastic home price appreciation (HPA) model that can be used to
obtain random paths of simulated home prices that are consistent with historical behavior …
obtain random paths of simulated home prices that are consistent with historical behavior …
Impact of borrower's attributes on mortgage default: evidence from Nigerian lending market
TB Oyedokun, AO Adewusi… - Pacific Rim Property …, 2015 - Taylor & Francis
The need for proper identification of mortgage default factors has become a major focus of
mortgage researches given the debilitating effect of default on mortgage market and real …
mortgage researches given the debilitating effect of default on mortgage market and real …
Dynamic Econometric Loss Model: A Default Study of US Subprime Markets
CHT Hong - Handbook of Quantitative Finance and Risk …, 2010 - Springer
The meltdown of the US subprime mortgage market in 2007 triggered a series of global
credit events. Major financial institutions have written down approximately $120 billion of …
credit events. Major financial institutions have written down approximately $120 billion of …
Whose Financial Crisis? How the Great Recession Reshaped Economic Instability and Inequality in the US
MD Nau - 2016 - rave.ohiolink.edu
Many families suffer economic losses during economic crises and a key political issue
during any such crisis is allocating these losses. During the 2008 financial crisis, American …
during any such crisis is allocating these losses. During the 2008 financial crisis, American …