Reviving Mortgage Securitization: Lessons from the Brady Plan and Duration Analysis

This chapter captures an overview of how real-estate risk is transferred to investors through securitization channels. A large part is dedicated to a less known financial instrument called balance guaranteed swap, which is a type of multi-period derivative contingent on cash-flows generated by a pool of mortgage loans. Emphasis is placed on the problems arising from modelling cash-flows and also revealed is the difficult task of dynamically managing the risk of the balance guaranteed swaps.

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Understanding PPP Tendering Periods in Canada: A Duration Analysis

Public Performance & Management Review ◽

10.1080/15309576.2019.1597739 ◽

2019 ◽

Vol 42 (6) ◽

pp. 1259-1278 ◽

Cited By ~ 3

Author(s):

Carter Casady ◽

Darragh Flannery ◽

R. Richard Geddes ◽

Dónal Palcic ◽

Eoin Reeves

Keyword(s):

Duration Analysis

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Profit and Risk under Subprime Mortgage Securitization

Discrete Dynamics in Nature and Society ◽

10.1155/2011/849342 ◽

2011 ◽

Vol 2011 ◽

pp. 1-64 ◽

Cited By ~ 1

Author(s):

M. A. Petersen ◽

J. Mukuddem-Petersen ◽

B. De Waal ◽

M. C. Senosi ◽

S. Thomas

Keyword(s):

Risk Mitigation ◽

Collateralized Debt Obligations ◽

Mortgage Loans ◽

Main Hypothesis ◽

Subprime Mortgage ◽

Important Indicator ◽

Residential Mortgage ◽

Maturity Mismatch ◽

Mortgage Securitization ◽

Collateralized Debt

We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs). Our deliberations focus on profit and risk in a discrete-time framework as they are related to RMBSs and RMBS CDOs. In this regard, profit is known to be an important indicator of financial health. With regard to risk, we discuss credit (including counterparty and default), market (including interest rate, price, and liquidity), operational (including house appraisal, valuation, and compensation), tranching (including maturity mismatch and synthetic) and systemic (including maturity transformation) risks. Also, we consider certain aspects of Basel regulation when securitization is taken into account. The main hypothesis of this paper is that the SMC was mainly caused by the intricacy and design of subprime mortgage securitization that led to information (asymmetry, contagion, inefficiency, and loss) problems, valuation opaqueness and ineffective risk mitigation. The aforementioned hypothesis is verified in a theoretical- and numerical-quantitative context and is illustrated via several examples.

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Optimal unity-magnitude input shaper duration analysis

Archive of Applied Mechanics ◽

10.1007/s00419-006-0080-2 ◽

2006 ◽

Vol 77 (1) ◽

pp. 63-71 ◽

Cited By ~ 34

Author(s):

Sırrı Sunay Gürleyük

Keyword(s):

Duration Analysis ◽

Input Shaper

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Understanding Culture

10.5117/9789089649911 ◽

2017 ◽

Author(s):

Babette Hellemans

Keyword(s):

Gender Studies ◽

Duration Analysis ◽

International Perspective ◽

Theoretical Background ◽

The Arts ◽

Long Duration ◽

Historical Investigation ◽

History Of ◽

And Gender ◽

The Relationship

This pioneering textbook explores the theoretical background of cultural variety, both in past and present. How is it possible to study 'culture' when the topic covers the arts, literature, movies, history, sociology, anthropology and gender studies? Understanding Culture examines the evolution of a concept with varying meanings depending on changing norms. Offering a long-duration analysis of the relationship between culture and nature, this book looks at the origins of studying culture from an international perspective. Using examples from the several scholarly traditions in the practice of studying culture, Understanding Culture is a key introduction to the area. It identifies the history of interpreting culture as a meeting point between the long-standing historical investigation of 'humanism' and 'postmodernism' and is a comprehensive resource for those who wish to further their engagement with culture as both a historical and contemporary phenomenon.

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