FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2801073642> ?p ?o ?g. }

• W2801073642 abstract "Author(s): Liu, Haoyang | Advisor(s): Wallace, Nancy; Palmer, Christopher | Abstract: This dissertation consists of three chapters that concern risk management and financial econometrics. Fannie Mae and Freddie Mac’s implicit government guarantee is widely argued to cause irresponsible risk taking. Despite moral-hazard concerns, this paper presents evidence that Fannie Mae and Freddie Mac (the GSEs) more effectively managed home price risks during the 2000-2006 housing boom than private insurers. Mortgage origination data reveal that the GSEs were selecting loans with increasingly higher percentage of down payments, or lower loan to value ratios (LTVs), in boom areas than in other areas. Furthermore, the decline of LTVs in boom areas stems entirely from the segment insured by the GSEs only, and none of the decline stems from the segment co-insured by private mortgage insurers. Private mortgage insurers also did not lower their exposure to home price risks along other dimensions, including the percentage of high LTV GSE loans they insured. To quantify how the GSEs’ portfolios would have performed under alternative home price scenarios, I build an insurance valuation model based on competing-risk hazard regressions, calibrated Hull and White term-structure model, and forecasting prepayment and default speeds. I find that the GSEs’ risk management would have been sufficient for the historically average 32% mean reversion but insufficient for the realized 95% mean reversion between 2006 and 2011. My results highlight that post-crisis reform of the mortgage insurance industry should carefully consider additional factors besides moral hazard, such as mortgage insurers’ future home price assumptions.The second chapter studies high dimensional time series, with application to estimating the mean variance frontier. One persistent challenge in macroeconmics and finance is how to draw inference from data with a large cross section but short time series. Financial econometric techniques all are designed for large time series and small cross-sections. However, financial data typically has a large cross section and short time series (large-N small-T). One particular large-N small-T impact is the underestimation of risk in the mean variance frontier. We propose a correction for the finite sample bias when the underlying returns are high dimensional linear time series. Our algorithm first corrects for the bias in eigenvalues of the asset return covariance matrix, and then estimate the contribution of each leading factor to the mean variance frontier. A cross validation method is employed to select the optimal number of leading factors. Performance of the proposed methods is examined through extensive simulation studies.The third chapter studies how expected home prices affect borrowers’ default behavior. One of the penalties mortgage defaulters face is being locked out of the mortgage market and missing the home price appreciation. I find that this penalty deters some borrowers from defaulting. A higher future home price growth implies a lower ex-ante default probability. Furthermore, high credit score borrowers react more to past home price declines and future home price appreciation than low credit score borrowers. This suggests that high credit score borrowers are more likely to be strategic defaulters. A model is built to study the effect of changing the cooling off period. In high expected home price appreciation areas, a longer cooling-off period amplifies the impact of each foreclosure. In low expected home price appreciation areas, a longer cooling-off period reduces the number of foreclosures." @default.
• W2801073642 created "2018-05-17" @default.
• W2801073642 creator A5040125713 @default.
• W2801073642 date "2017-01-01" @default.
• W2801073642 modified "2023-09-27" @default.
• W2801073642 title "Essays in Risk Management and Financial Econometrics" @default.
• W2801073642 cites W1586554030 @default.
• W2801073642 cites W1685787456 @default.
• W2801073642 cites W1792726777 @default.
• W2801073642 cites W1960920821 @default.
• W2801073642 cites W1970686657 @default.
• W2801073642 cites W1975395389 @default.
• W2801073642 cites W1975570699 @default.
• W2801073642 cites W1985544704 @default.
• W2801073642 cites W1995834279 @default.
• W2801073642 cites W2012713405 @default.
• W2801073642 cites W2016909311 @default.
• W2801073642 cites W2031111978 @default.
• W2801073642 cites W2069597205 @default.
• W2801073642 cites W2075614656 @default.
• W2801073642 cites W2077755744 @default.
• W2801073642 cites W2105630053 @default.
• W2801073642 cites W2109133685 @default.
• W2801073642 cites W2112261373 @default.
• W2801073642 cites W2118800758 @default.
• W2801073642 cites W2124532652 @default.
• W2801073642 cites W2127435419 @default.
• W2801073642 cites W2128385391 @default.
• W2801073642 cites W2159706540 @default.
• W2801073642 cites W2195436497 @default.
• W2801073642 cites W23705791 @default.
• W2801073642 cites W2765709781 @default.
• W2801073642 cites W3121611131 @default.
• W2801073642 cites W3122085781 @default.
• W2801073642 cites W3122156058 @default.
• W2801073642 cites W3122321166 @default.
• W2801073642 cites W3122613737 @default.
• W2801073642 cites W3123123373 @default.
• W2801073642 cites W3124080152 @default.
• W2801073642 cites W3124147966 @default.
• W2801073642 cites W3125137378 @default.
• W2801073642 cites W3125487455 @default.
• W2801073642 cites W3125536768 @default.
• W2801073642 cites W3125891475 @default.
• W2801073642 cites W3126028571 @default.
• W2801073642 cites W3121859925 @default.
• W2801073642 hasPublicationYear "2017" @default.
• W2801073642 type Work @default.
• W2801073642 sameAs 2801073642 @default.
• W2801073642 citedByCount "0" @default.
• W2801073642 crossrefType "journal-article" @default.
• W2801073642 hasAuthorship W2801073642A5040125713 @default.
• W2801073642 hasConcept C10138342 @default.
• W2801073642 hasConcept C127413603 @default.
• W2801073642 hasConcept C130424004 @default.
• W2801073642 hasConcept C141441539 @default.
• W2801073642 hasConcept C14293393 @default.
• W2801073642 hasConcept C144133560 @default.
• W2801073642 hasConcept C162118730 @default.
• W2801073642 hasConcept C162324750 @default.
• W2801073642 hasConcept C165060548 @default.
• W2801073642 hasConcept C175444787 @default.
• W2801073642 hasConcept C186027771 @default.
• W2801073642 hasConcept C2780202544 @default.
• W2801073642 hasConcept C29122968 @default.
• W2801073642 hasConcept C32896092 @default.
• W2801073642 hasConcept C43039823 @default.
• W2801073642 hasConcept C68799949 @default.
• W2801073642 hasConcept C87717796 @default.
• W2801073642 hasConcept C97330809 @default.
• W2801073642 hasConceptScore W2801073642C10138342 @default.
• W2801073642 hasConceptScore W2801073642C127413603 @default.
• W2801073642 hasConceptScore W2801073642C130424004 @default.
• W2801073642 hasConceptScore W2801073642C141441539 @default.
• W2801073642 hasConceptScore W2801073642C14293393 @default.
• W2801073642 hasConceptScore W2801073642C144133560 @default.
• W2801073642 hasConceptScore W2801073642C162118730 @default.
• W2801073642 hasConceptScore W2801073642C162324750 @default.
• W2801073642 hasConceptScore W2801073642C165060548 @default.
• W2801073642 hasConceptScore W2801073642C175444787 @default.
• W2801073642 hasConceptScore W2801073642C186027771 @default.
• W2801073642 hasConceptScore W2801073642C2780202544 @default.
• W2801073642 hasConceptScore W2801073642C29122968 @default.
• W2801073642 hasConceptScore W2801073642C32896092 @default.
• W2801073642 hasConceptScore W2801073642C43039823 @default.
• W2801073642 hasConceptScore W2801073642C68799949 @default.
• W2801073642 hasConceptScore W2801073642C87717796 @default.
• W2801073642 hasConceptScore W2801073642C97330809 @default.
• W2801073642 hasLocation W28010736421 @default.
• W2801073642 hasOpenAccess W2801073642 @default.
• W2801073642 hasPrimaryLocation W28010736421 @default.
• W2801073642 hasRelatedWork W1872729685 @default.
• W2801073642 hasRelatedWork W1972405423 @default.
• W2801073642 hasRelatedWork W2020024367 @default.
• W2801073642 hasRelatedWork W2023445305 @default.
• W2801073642 hasRelatedWork W2120288962 @default.
• W2801073642 hasRelatedWork W2132253363 @default.
• W2801073642 hasRelatedWork W2150420039 @default.
• W2801073642 hasRelatedWork W2181786820 @default.
• W2801073642 hasRelatedWork W2206074914 @default.

• next