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ردیف | عنوان | نوع |
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1 |
House price, loan-to-value ratio and credit risk
قیمت خانه، نسبت وام به ارزش و خطر اعتباری-2018 Real estate transactions are often established through financing. We study the effect of financing on property prices. We show that properties can transact at prices well above their collateral values. Therefore, the commonly used loan-to-value (LTV) ratio suffers a bias that can significantly understate credit risk. This bias is exacerbated when mortgages are originated with longer terms, at higher LTV ratios, or when sellers possess stronger bargaining power. Furthermore, this bias is larger under aggressive lending products, e.g. interest-only loans and mortgages allowing negative amortization. Our simulation results suggest that many mortgages originated at the peak of the housing bubble are, in fact, “under water” at origination. In particular, the loan amount of a 30-year mortgage at a 95% LTV can be 15% greater than the collateral value of the property, suggesting the mortgage is already deep “under water” at origination. These findings call into questions underwriting and risk control practices in mortgages and other collateralized debts.
keywords: Asset prices |Bargaining |Mortgage financing |Loan-to-value ratio |Credit risk |
مقاله انگلیسی |
2 |
Securitization bubbles: Structured finance with disagreement about default risk
حباب های سهامی سازی: سرمایه گذاری ساختاریافته با مخالفت درباره خطر پیش عدم پرداخت بدهی-2018 An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists’ demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching.
keywords: Structured finance |CDO |RMBS |Disagreement |Default correlation |Credit risk |Great recession |Housing bubble |
مقاله انگلیسی |
3 |
Casino tourism, economic inequality, and housing bubbles
گردشگری کازینو، نابرابری اقتصادی و حباب های مسکن-2017 Potential linkages among tourism, inequality, and housing are addressed for an integrated analysis in this
paper, with Macao treated as a typical case. Casino tourism, albeit performing as a major key to local
economic growth, is ultimately vulnerable to external shocks to gambling demand, as evidenced by the
current sharp downturn in Macao. We find that faster gaming growth leads to higher income inequality
while at the same time both factors are responsible for soaring housing bubbles, which constitute the
very source of social tensions as in Macao. Casino tourism if not well managed may not be a panacea for
all development goals. The implication for policy derived from this study is that Macao must deal with
underlying issues rather than apply palliative measures. Its market failures may necessitate government
interventions to ensure social equity and sustainable tourism.
Keywords: Casino tourism | Unbalanced growth | Economic inequality | Housing bubbles | Macao |
مقاله انگلیسی |