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Prepayment Behavior of Dutch Mortgagors : An Empirical Analysis

Charlier, E.; van Bussel, A. - Tilburg University, Center for Economic Research - 2001

use historical data on mortgages originated between January 1989 and June 1999.We estimate separate models for two popular … redemption types: savings mortgages and interest-only mortgages.In both models we allow for suboptimal prepayment behaviour …

Persistent link: https://www.econbiz.de/10011092410

Did Prepayments Sustain the Subprime Market?

Bhardwaj, G.; Sengupta, R. - Tilburg University, Center for Economic Research - 2009

This paper demonstrates that the reason for widespread default of mortgages in the subprime market was a sudden … reversal in the house price appreciation of the early 2000's. Using loan-level data on subprime mortgages, we observe that the … majority of subprime loans were hybrid adjustable rate mortgages, designed to impose substantial financial burden on reset to …

Persistent link: https://www.econbiz.de/10011092628

Credit Booms and Lending Standards : Evidence from the Subprime Mortgage Market

Dell’Ariccia, G.; Igan, D.; Laeven, L. - Tilburg University, Center for Economic Research - 2009

This paper links the current subprime mortgage crisis to a decline in lending standards associated with the rapid expansion and changes in the structure of this market. We show that lending standards declined more in areas that experienced faster credit growth. We also find that the entry of new...

Persistent link: https://www.econbiz.de/10011092670

MBS Ratings and the Mortgage Credit Boom

Ashcraft, A.; Goldsmith-Pinkham, P.; Vickery, J. - Tilburg University, Center for Economic Research - 2010

underperformance (high mortgage defaults and losses, and large rating downgrades) amongst deals with observably higher-risk mortgages …

Persistent link: https://www.econbiz.de/10011090320

Accounting Discretion of Banks During a Financial Crisis

Huizinga, Harry P.; Laeven, L. - Tilburg University, Center for Economic Research - 2009

This paper presents evidence of banks using accounting discretion to overstate the value of distressed assets. In particular, we show that the stock market applies far greater discounts to a bank’s real estate loans and mortgage-backed securities than are implicit in the book values of these...

Persistent link: https://www.econbiz.de/10011091514

Performance analysis of international mutual funds incorporating market frictions

ter Horst, Jenke; Nijman, Theo; de Roon, F.A. - Tilburg University, Center for Economic Research - 1998

Persistent link: https://www.econbiz.de/10011090489

The Financing of Innovation : Learning and Stopping

Bergemann, D.; Hege, U. - Tilburg University, Center for Economic Research - 2001

finance, and looser under arm's length financing.The trade-off is that while relationship financing may require smaller …

Persistent link: https://www.econbiz.de/10011090781

Financial integration in Europe : Evidence from Euler equation tests

Eijffinger, Sylvester; Lemmen, J.J.G. - Tilburg University, Center for Economic Research - 1995

This paper applies Obstfeld's Euler equation tests to assess the degree of financial integration in the European Union. In addition, we design a new Euler equation test which is intimately related to Obstfeld's Euler equation tests. Using data from the latest Penn World Table (Mark 6), we arrive...

Persistent link: https://www.econbiz.de/10011091027

An empirical investigation of the factors that determine the pricing of Dutch index warrants

de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1994

This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the...

Persistent link: https://www.econbiz.de/10011091206

Application of Neural Networks to House Pricing and Bond Rating

Daniëls, H.A.M.; Kamp, B.; Verkooijen, W.J.H. - Tilburg University, Center for Economic Research - 1997

Feed forward neural networks receive a growing attention as a data modelling tool in economic classification problems. It is well-known that controlling the design of a neural network can be cumbersome. Inaccuracies may lead to a manifold of problems in the application such as higher errors due...

Persistent link: https://www.econbiz.de/10011091864