Can a Reliable Framework for Sovereign-Backed Securities Be Established?
نویسندگان
چکیده
منابع مشابه
New Models for Rating Asset Backed Securities
The securitization of financial assets is a form of structured finance, developed by the U.S. banking world in the early 1980’s (in Mortgage-Backed-Securities format) in order to reduce regulatory capital requirements by removing and transferring risk from the balance sheet to other parties. Today, virtually any form of debt obligations and receivables has been securitized, resulting in an appr...
متن کاملOptimal prepayment and default rules for mortgage-backed securities
We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing model incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on t...
متن کاملValuation of Mortgage - Backed Securities in a Distributed Environment
Valuation of Mortgage-Backed Securities in a Distributed Environment Vladimir Surkov Master of Science Graduate Department of Computer Science University of Toronto 2004 Valuation of Mortgage-Backed Securities, regarded as integration in high dimensional space, can be readily performed using Monte Carlo method. The Quasi-Monte Carlo method, by utilizing low discrepancy sequences, has been able ...
متن کاملSovereign immunity and health care: can government be trusted?
When government provides or arranges for health care, it is held to lower legal standards than private parties are, especially when liability is barred by "sovereign immunity". This paper examines sovereign immunity and its implications for health care quality by comparing private-sector and government accountability in several legal contexts. It then considers whether the law should be changed...
متن کاملMeasuring Value-at-Risk for Mortgage Backed Securities
This paper investigates the computation of Value-at-Risk (VaR) measures for mortgage backed securities (MBSs) using data for the Danish MBS market. The current RiskMetrics proposal from J.P. Morgan is used as a reference point throughout, but the study diverge somewhat from their proposal, especially with respect to the estimation of zero coupon yield curves as well as in the choice of mapping ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Intereconomics
سال: 2017
ISSN: 0020-5346,1613-964X
DOI: 10.1007/s10272-017-0694-3