Dynamic risk model for CMO with credit tranching

2015 ◽  
Vol 02 (04) ◽  
pp. 1550041
Author(s):  
Dror Parnes
Keyword(s):  
Housing Market ◽  
Economic Crisis ◽  
Risk Model ◽  
Financial Instruments ◽  
Credit Quality ◽  
Dynamic Risk ◽  
Collateralized Mortgage Obligations ◽  
Theoretical Simulations ◽  
The U.S

In this paper, we present a dynamic risk model that can assess the stochastic credit quality of senior tranches of collateralized mortgage obligations (CMO) while supported by any number of junior bond classes. We design the model to be universal and to embed common hazards and retreats within the U.S. housing market. This deployment assists us in resolving real problems when gauging the dynamic creditworthiness of CMOs’ senior bond tranches. Resulting from our subsequent theoretical simulations, we discover the boundaries of these structured financial instruments when exposed to relatively modest probabilities of a broad economic crisis. We demonstrate that despite their diverse supportive structures, CMOs are not as protective as originally thought by many investors when a widespread housing calamity progresses.

scholarly journals A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK

2018 ◽  
Vol 21 (08) ◽  
pp. 1850050
Author(s):  
TOMASZ R. BIELECKI ◽  
IGOR CIALENCO ◽  
SHIBI FENG
Keyword(s):  
Dynamic Model ◽  
Numerical Study ◽  
Risk Measures ◽  
Structure Model ◽  
Counterparty Risk ◽  
Dynamic Risk Measures ◽  
Credit Quality ◽  
Dynamic Risk ◽  
Risk Sensitive

We introduce a dynamic model of the default waterfall of derivatives central counterparties and propose a risk sensitive method for sizing the initial margin, and the default fund and its allocation among clearing members. Using a Markovian structure model of joint credit migrations, our evaluation of the default fund takes into account the joint credit quality of clearing members as they evolve over time. Another important aspect of the proposed methodology is the use of the time consistent dynamic risk measures for computation of the initial margin and the default fund. We carry out a comprehensive numerical study, where, in particular, we analyze the advantages of the proposed methodology and its comparison with the currently prevailing methods used in industry.

The Decline in Credit Quality of New-Issue Junk Bonds

1990 ◽  
Vol 46 (5) ◽  
pp. 53-62 ◽  
Author(s):  
Barrie A. Wigmore
Keyword(s):  
Junk Bonds ◽  
Credit Quality

Chasing Trends in the U.S. Housing Market

2011 ◽  
Author(s):  
Roy R. P. Kouwenberg ◽  
Remco C. J. Zwinkels
Keyword(s):  
Housing Market ◽  
The U.S

U.S.-Listed Foreign Companies' Choice of a U.S.-Based versus Home Country-Based Big N Principal Auditor and the Effect on Audit Fees and Earnings Quality

2015 ◽  
Vol 29 (3) ◽  
pp. 631-666 ◽  
Author(s):  
Sharad C. Asthana ◽  
K. K. Raman ◽  
Hongkang Xu
Keyword(s):  
Financial Reporting ◽  
Home Country ◽  
Earnings Quality ◽  
Audit Fees ◽  
Foreign Companies ◽  
Two Factors ◽  
Just Price ◽  
Reporting Environment ◽  
The U.S

SYNOPSIS We examine why U.S.-listed foreign companies choose to have a U.S.-based (rather than home country-based) Big N firm as their principal auditor for SEC reporting purposes and the effects of that choice for audit fees and earnings quality. We find that the likelihood of the Big N principal auditor being U.S.-based is decreasing in client size and the level of investor protection in the home country, and increasing in the proportion of income earned outside the home country. We also find compelling evidence that U.S.-based Big N auditors are associated with higher-quality earnings (albeit for a higher fee), despite two factors—the greater distance between the U.S.-based (vis-à-vis home country-based) Big N auditor and the client, and the likelihood that much of the audit work is done outside the U.S.—which potentially could lower the earnings quality of the U.S.-listed foreign client when the Big N principal auditor is U.S.-based. Overall, our study suggests that the higher fees associated with a U.S.-based Big N principal auditor is not just price protection; rather, U.S.-based Big N principal auditors are also improving the financial reporting environment by reporting higher-quality audited earnings for their U.S.-listed foreign clients. JEL Classifications: L11; L15; M42.

scholarly journals Together, We Can Make This Place Our Home: Civic Engagement Among Asian Immigrants

2020 ◽  
Vol 4 (Supplement_1) ◽  
pp. 99-99
Author(s):  
Cindy Bui ◽  
Kyungmin Kim ◽  
Qian Song ◽  
Yuri Jang
Keyword(s):  
Social Network ◽  
Civic Engagement ◽  
Asian American ◽  
American Culture ◽  
City Council ◽  
Asian Immigrants ◽  
The City ◽  
The U.S ◽  
Acculturation Factors

Abstract Civic engagement is an important dimension of age-friendly communities but has been understudied among Asian immigrant groups. While research has attributed greater civic engagement among immigrants to acculturation factors, the influence of acculturation may be conditioned upon Asian immigrants’ social network and place attachment to their city. We used data from the Asian American Quality of Life survey to analyze civic engagement activity (e.g., City council meeting, voting in a City election) among a diverse sample of middle-aged and older Asian immigrants in Austin, Texas (N = 994). 34.5% of the sample had participated in at least one civic engagement activity in the past 12 months. We examined how such civic engagement is associated with acculturation factors, and further examined whether one’s friend network and perception of their city moderated the association. We found that number of years lived in the U.S., familiarity with mainstream American culture, and number of friends in one’s social network were positively related to civic engagement activity. Furthermore, we found that the association between years lived in the U.S. and civic engagement was more pronounced for immigrants with larger friend networks; the association between familiarity with American culture and civic engagement was more pronounced for immigrants with more positive perceptions of the city. These findings highlight that acculturation may not operate alone in civic engagement among Asian immigrants. Rather, it may also be important to create opportunities for Asian immigrants to feel connected to their community and build meaningful friend networks to encourage civic engagement.

A framework for the evaluation and use of alternative data in the Consumer Expenditure Surveys

1915 ◽  
Author(s):  
Laura Erhard ◽  
Brett McBride ◽  
Adam safir
Keyword(s):  
Strategic Plan ◽  
Consumer Expenditure ◽  
Quality Of Data ◽  
Additional Information ◽  
Complementary Role ◽  
Labor Statistics ◽  
Weighting Procedures ◽  
Bureau Of Labor Statistics ◽  
The U.S

As part of the implementation of its strategic plan, the U.S. Bureau of Labor Statistics (BLS) has increasingly studied the issue of using alternative data to improve both the quality of its data and the process by which those data are collected. The plan includes the goal of integrating alternative data into BLS programs. This article describes the framework used by the BLS Consumer Expenditure Surveys (CE) program and the potential these data hold for complementing data collected in traditional formats. It also addresses some of the challenges BLS faces when using alternative data and the complementary role that alternative data play in improving the quality of data currently collected. Alternative data can substitute for what is presently being collected from respondents and provide additional information to supplement the variables the CE program produces or to adjust the CE program’s processing and weighting procedures.

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