The roles of Fannie Mae and Freddie Mac have become increasingly controversial in the modern world of residential mortgage finance. We describe the special features of these two companies and their roles in the mortgage markets. We then discuss the controversies that surround them and offer...

This paper examines two major forces that may soon increase competition in the U.S. secondary conforming mortgage market: 1) the expansion of Federal Home Loan Bank mortgage purchase programs, and 2) the adoption of revised risk-based capital requirements for large U.S. banks (Basel II).(...)

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002.(...)

This paper discusses the relationship between bank size and risk-takingunder Pillar I of the New Basel Capital Accord.

This paper analyzes the impact of capital adequacy regulation on bank insolvency and aggregate investment.

The granularity adjustment technique is embedded into a general multi-factor model. ... In this paper, a counter-example with negative value of the granularity adjustment is given for the well-known Vasicek (2002) model.

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value-added output, we calculate for each state the efficient frontier for investments in the real economy. We study how rapidly...

The transformation of private savers’ funds into business loans – the very essential function ofbanking intermediation - is weak in Belarus compared to other Eastern European economies.High concentration, governmental interference, an inconsistent regulation and a difficultbusiness environment...

"Coherent" measures of a bank's whole risk capital imply a structure of a bank's optimalcredit portfolio that is independent of its deposits and the expected deposit rate, of expectedbankruptcy costs and of expected costs of regulatory capital...

This paper examines the impact of a public credit registry on the repayment behavior of borrowers. We implement an experimental credit market in which loan repayment is not third-party enforceable. We compare market outcome with a credit registry to that without a credit registry. This...