Monte Carlo simulation is fast becoming the technology of choice for evaluating and analyzing assets, be it pure financial derivatives or investments in real assets. Two of the main virtues of simulation are flexibility and simplicity. There is no constraint on the type of uncertainty that can be modeled and most any type of decision rule can be incorporated. Simulation is also easy to implemen...

We show that (i) different collateral requirements across countries in securitized markets lead to net international capital flows, and (ii) the ability to tranche asset-backed securities in one country leads to offsetting portfolio flows, creating gross financial flows. We use a general equilibrium model with two countries, collateralized borrowing, and securitized markets. Financial systems d...

The recent turmoil in financial markets brought new challenges and demands to the compilers of statistics. The current set of statistics on financial markets seemed insufficient for an appropriate and prompt intervention of policy-makers. With the present knowledge about the holdings of mortgage-backed securities or asset-backed securities, it proved very difficult to find who ultimately bears ...

The …nancial crisis has raised some concern about the quality of information available on some traded assets on the securities markets to market participants and regulators. Asset-backed securitization in general got partial blame for the paucity of liquidity on bank balance sheets and the consequent credit crunch. After the Asset-Backed Security (ABS) market fell to near inactivity in 2009, th...

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were average 33.9 percent at origination. In contrast, by 3rd quarter 2010, there was no in TALF The theoretical model is used predict early redemption Term Asset-Backed Securities Loan Facility (TALF) purchase...