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Commission, Productivity - EconWPA - 2004

The terms of reference for the inquiry on First Home Ownership asked the Commission to evaluate the affordability and availability of housing for first home buyers. The Commission’s preliminary findings were released for public comment in December. In its final assessment, the Commission...

Persistent link: https://www.econbiz.de/10005118887

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Giorgi, Enrico De - EconWPA - 2002

In April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63\% of all … the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private … clients, i.e. borrowers who finance their property by the loan and we model the probability distribution of the number of …

Persistent link: https://www.econbiz.de/10005126112

What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities

Heidari, Massoud; Wu, Liuren - EconWPA - 2004

The U.S. agency mortgage backed securities (MBS) market is deep and highly liquid, yet modeling MBS is extremely challenging. This paper applies market participants' desired requirements for a good pricing model to MBS pricing models provided by six of the top MBS dealers. We find that five out...

Persistent link: https://www.econbiz.de/10005561622

Global Gains from Liberalising Trade in Telecommunications and Financial Services

Verikios, George; Zhang, Xiao-guang - EconWPA - 2001

This paper uses a general equilibrium model to assess the effects of liberalising trade in telecommunications and financial services for 19 regions of the world. Results suggest that economies gain from removing barriers to the establishment of new operations (domestic or foreign), and by...

Persistent link: https://www.econbiz.de/10005556171

Collateral, Access to Credit, and Investment in Bulgaria, chap. 8 in D. Jones and J. Miller (eds) THE BULGARIAN ECONOMY: LESSONS FROM REFORM DURING EARLY TRANSITION, Ashgate 97.

Bogetic, Zeljko - EconWPA - 2005

The paper measures economic loss from the problem of inadequate collateral in Bulgaria and proposes solutions consisting of creation of security interests, perfection, and enforcement.

Persistent link: https://www.econbiz.de/10005561596

Duplicating Contingent Claims by the Lagrange Method

Chow, Gregory C. - EconWPA - 2003

The problem of investing y(0) dollars at time 0 to duplicate a contigent claim is formulated as a dynamic optimization problem and solved by the Langrange method. If the function defining dy(t) is concave in y(t), owing to costs of trading in incomplete markets, there is an economy of scale in...

Persistent link: https://www.econbiz.de/10005561627

Shanghai Stock Prices as Determined by the Present Value Model

Chow, Gregory C. - EconWPA - 2003

Derived from the present-value model of stock prices, our model implies that the log stock price is a linear function of expected log dividends and the expected rate of growth of dividends where expectations are formed adaptively. The model explains very well the prices of 47 stocks traded on...

Persistent link: https://www.econbiz.de/10005561744

An Interview with Franco Modigliani

Barnett, William A.; Solow, Robert - EconWPA - 2004

These are the page proofs of the interview of Franco Modigliani by William A. Barnett and Robert Solow. The interview was published in the journal, Macroeconomic Dynamics, in 2000. Since William Barnett is one of the two interviewers, he now is permitted, by Cambridge University Press, to make...

Persistent link: https://www.econbiz.de/10005125026

Optimal portfolios using linear programming models

Papahristodoulou, Christos; Dotzauer, Erik - EconWPA - 2005

The classical Quadratic Programming (QP) formulation of the well-known portfolio selection problem has traditionally been regarded as cumbersome and time consuming. This paper formulates two additional models, (i) maximin, and (ii) minimization of mean absolute deviation. Data from 67 securities...

Persistent link: https://www.econbiz.de/10005134772

Option Strategies with linear programming

Papahristodoulou, Christos - EconWPA - 2005

In practice, all option strategies are decided in advance, given the investor’s belief of the stock price. In this paper, instead of deciding in advance the most appropriate hedging option strategy, an LP problem is formulated, by considering all significant Greek parameters of the...

Persistent link: https://www.econbiz.de/10005134778