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Credit supply expansion boosts housing speculation and amplifies the housing cycle. The surge in private-label mortgage securitization in 2003 fueled a large expansion in mortgage credit supply by lenders financed with noncore deposits. Areas more exposed to these lenders experienced a large relative rise in transaction volume driven by a small group of speculators, and these areas simultaneously witnessed an amplified housing boom and bust. Consistent with the importance of belief heterogeneity, house price growth expectations of marginal buyers rose during the boom, while housing market pessimism among the general population increased. [ABSTRACT FROM AUTHOR]

This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance gap between sold and retained loans was wider among the subsample of loans that were perceived as easier to resell. The investors'seeming advantage over the originating bank can mostly be explained by information revealed during the time between loan origination and sale. [ABSTRACT FROM PUBLISHER]

An originate-to-distribute (OTD) model of lending, where the originator of a loan sells it to various third parties, was a popular method of mortgage lending before the onset of the subprime mortgage crisis. We show that banks with high involvement in the OTD market during the pre-crisis period originated excessively poor-quality mortgages. This result is not explained away by differences in observable borrower quality, geographical location of the property, or the cost of capital of high- and low-OTD banks. Instead, our evidence supports the view that the originating banks did not expend resources in screening their borrowers. The effect of OTD lending on poor mortgage quality is stronger for capital-constrained banks. Overall, we provide evidence that lack of screening incentives coupled with leverage-induced risk-taking behavior significantly contributed to the current subprime mortgage crisis. [ABSTRACT FROM PUBLISHER]

This article examines the auction of a portfolio of collateralized mortgage obligations (CMOs) to major broker dealers and institutional investors. The unique data set allows us to analyze a number of important empirical questions related to the valuation of CMOs by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially implying a significant elasticity of demand. [ABSTRACT FROM AUTHOR]

This article presents a procedure for evaluating collateralized mortgage obligation (CMO) tranches. The solution procedure is in the spirit of a dynamic programming problem in which an individual mortgagor's decision to prepay is the feedback control variable--the mortgagor seeks to minimize the value of the mortgage subject to refinancing costs. We employ a two-step procedure to solve this dynamic programming problem. The first step uses an implicit finite difference backward solution procedure to determine the "optimal" prepayment boundary for a class of mortgagors, each of whom confronts the same proportional refinancing cost. This step is repeated for several different classes of mortgagors that differ in the level of refinancing costs that they confront. The outcome of this first step is a series of prepayment boundaries--one set of boundaries for each level of refinancing costs (i.e., one set of boundaries for each refinancing cost category of mortgagors). In the second step, the prepayment boundaries determined in the first step are used in conjunction with Monte Carlo simulation to value the CMO tranches. The essence of the second step is that when the simulated interest rate hits the boundary for a particular class, it triggers a prepayment scenario for that class of mortgagors. We conduct extensive sensitivity analysis to determine the robustness of this approach (and our solution procedure) to alternative single-factor models of the term structure of interest rates and to alternative specifications of the distribution of refinancing cost levels confronted by mortgagors. The sensitivity analysis indicates that CMO tranche valuation is not particularly sensitive to alternative models of the term structure so long as the models are consistent with the current yield curve, but, even when alternative specifications of the refinancing cost categories generate nearly identical values for the collateral underlying the CMO (i.e., the generic mortgage-backed securiti [ABSTRACT FROM AUTHOR]

Firms and institutions are monitored and controlled through a complex set of implicit and explicit contractual relations. Because of these agency theoretic relations, institutional behavior in financial markets is not a simple reflection of the preference structures of individuals. Institutional preferences give rise to a demand for new financial instruments and innovations, even when the returns on these instruments are "spanned" in the sense of complete pricing. The innovations can be thought of as solving moral hazard problems. An agency theoretic example serves to illustrate the demand, supply, and financial marketing of stripped securities. In short, institutions matter. [ABSTRACT FROM AUTHOR]

Automated valuation models (AVMs) are widely used in the valuation of pools of residential mortgages. In this paper, we provide evidence that high pricing errors in human and automated valuation models as well as rejection of loans with relatively low appraisals may generate the appearance of appraisal bias even when the original appraisals are unbiased. We also present evidence that the estimated frequency of appraisal overstatement is quite sensitive to assumptions about loan denial rates due to low appraisals as well as the size of and the correlation between AVM and original appraisal pricing errors. [ABSTRACT FROM AUTHOR]

Abstract: Sun, Titman and Twite find that capital structure risks, namely, high leverage and a high share of short‐term debt, reduced the cumulative total return of U.S. REITs in the 2007–2009 financial crisis. We find that mitigating capital structure risks ahead of the crisis by reducing leverage and extending debt maturity in 2006 was associated with a significantly higher cumulative total return 2007–2009, after controlling for the levels of those variables at the start of the financial crisis. We further identify two systematic cross‐sectional differences between those REITs that reduced capital structure risks prior to the financial crisis and those that did not: the exposure to capital structure risks and the strength of corporate governance. On balance, our findings are consistent with the interpretation of risk‐reducing adjustments to capital structure ahead of the crisis as a component of managerial skill and discipline with significant implications for firm value during the crisis. [ABSTRACT FROM AUTHOR]

Collateralized mortgage obligations are derivatives securities based on mortgage loans which issued in different maturities, interest rates and credit ratings. In Iran attention to decision authorities for the first time allowed Iran Melli bank and Maskan bank to issue this kind of securities. One of the main questions in issuing this kind of securities is maximizing the issuer profit by choosing optimum maturity, number and size of each trench. In this paper by using combination of dynamic programming approach and Monte Carlo simulation technique we maximize the profit of issuer by optimizing the maturity of mortgage backed securities (reduce in issuing cost). Considering 3 trenches and up to 8 years maturity with 12% average rate of pool of mortgages, the result of the model determines the maturity of 4, 8 and 3 years respectively for first, second and third trenches. Compared with the proposed 5-years and non-classified mortgages, dynamic programming model leads to rise 1.2% in profit of issuer.

The article offers information on the history, development and significance of the collateral mortgage law in Louisiana with reference to the comprehensive revisions to Article 9 of the Uniform Commercial Code in 2001. It discusses the judicial decision of the Louisiana Supreme Court in the case of Diamond Services Corporation v. Benoit regarding collateral mortgage notes. It analyzes the U.S. Louisiana District Court's decision in KeyBank National Association v. Perkins Rowe Associates LLC.

The article presents updates on the securitization sector as of January 2014. The capture cash reserve account (PCCRA) rule has been excluded from the re-proposal of risk retention rules under the U.S. Dodd-Frank Act. An order was issued requiring some bank investors in European collateralized loan obligations at the triple-A level to suspend buying new issuance. The first-ever securitization of peer-to-peer consumer loans was issued by Eaglewood Capital Management.

We develop a new R package that computes the probability density function, the hazard rate function, the integrated hazard rate function, and the quantile function for forty four survival models commonly used in actuarial science. A real data application of the package is illustrated. It is hoped that this package could be useful for actuarial scientists. [ABSTRACT FROM AUTHOR]

The concept of the Good Society--grounded in principles of reciprocity and the Golden Rule--is as ancient as human civilization. To many the concept may appear in conflict with the goings-on of financial markets. This may be especially true after the financial crisis. Financial theory and financial legislation cannot ignore this apparent conflict, but must instead find ways to reduce it. When teaching economics it is important to convey how individuals and organizations impose rules and standards which help reconcile their deeply-held beliefs with their business practices. [ABSTRACT FROM AUTHOR]

This paper presents a critical review of the neoclassical pricing models and assumptions used to valuate the products of structured finance using historical market data provided by credit default swaps. These models are founded on the idea that the efficient market hypothesis could be justification to use various credit derivatives to price-related assets. This market-based approach to pricing greatly simplified the complex nature of structured finance. However, it also created new risks that were not apparent to the market and subsequently grew unattended. These risks are identified and their connection to the real economy is explored in Keynesian, Davidsonian, and Minskian terms. It is the conclusion of this paper that a significant contributor to the credit crisis was market participants' reliance on the efficient market theory and lack of awareness of Keynes's key insights into uncertainty. [ABSTRACT FROM AUTHOR]

The article discusses several legal developments involving the U.S. investment securities laws under Section Eight of the nation's Uniform Commercial Code (UCC) in 2011, focusing on cases involving legal issues such as security interests, New York's Limited Liability Law, and collateralized mortgage obligations (CMOs). In the case Smith v. Powder Mountain LLC, the court deals with a transfer of assets in a security account.

Under a reduced-form framework, we establish models for pricing mortgage-backed securities with prepayment risk by introducing a stochastic prepayment factor. In the zero-default scenario, the pricing pass-through securities and sequential-pay collateralized mortgage obligation structures are considered. To solve the problems, we introduce a path-dependent variable, from which partial differential equation problems are obtained when the prepayment rate is modeled by a CIR process. Numerical solution to the pricing problem is obtained by developing an explicit characteristics difference scheme. [ABSTRACT FROM AUTHOR]

The article focuses on the U.S. court case U.S. Securities and Exchange Commission v. Goldman Sachs, which dealt with fiduciary duties in investment banking. Topics include trust-based agreements, the management and regulation of investment banks in the U.S., and synthetic collateralized debt obligation (CDO) transactions.

Managing the switching-noise in mixed-signal systems fabricated on a single chip is becoming increasingly challenging. This needs substantial overheads in both area and power. Existing logic families that minimize switching-noise generation, such as current-steering logic (CSL), current-balanced logic (CBL) etc. require considerably more power than traditional CMOS implementations. We present a new logic family called the current-steering CMOS (CS-CMOS) obtained by a simple modification keeping the core CMOS structure in tact to preserve its most attractive features. This family not only reduces the switching noise by a factor of ten but also delivers five times higher speed than CSL and CBL for the same power consumption. Experimental results comparing 15-stage ring-oscillators configured in the CSL and CS-CMOS families and fabricated in a 0.18 \mum process show that their energy-delay-products are 6.5 fJ*ns and 1.52 fJ*ns respectively. The usefulness of this new logic family is further demonstrated by synthesizing a cell library of CS-CMOS gates and by using it to simulate benchmark circuits, a decimation filter and a frequency divider. [ABSTRACT FROM AUTHOR]

An Interconnect full open defect breaks the connection between the driver and the gate terminals of downstream transistors, generating a floating line. The behavior of floating lines is known to depend on several factors, namely parasitic capacitances to neighboring structures, transistor capacitances of downstream gate(s) and trapped charges. For nanometer CMOS technologies, the reduction of oxide thickness leads to a significant increase in gate tunneling leakage. This new phenomenon influences the behavior of circuits with interconnect full open defects. Floating lines can no longer be considered electrically isolated and are subjected to transient evolutions, reaching a steady state determined by the technology, downstream interconnect and gate(s) topology. The occurrence of such defects and the impact of gate tunneling leakage are expected to increase in the future. In this work, interconnect full open defects affecting nanometer CMOS technologies are analyzed and the defective logic response of downstream gates after reaching the steady state is predicted. Experimental evidence of this behavior is presented for circuits belonging to a 180 nm and a 65 nm CMOS technologies. Technology trends show that the impact of gate leakage currents is expected to increase in future technologies. [ABSTRACT FROM AUTHOR]

This paper represents an attempt to incorporate concepts and issues stemming from the global financial crisis (GFC) into the typical Intermediate Accounting, two-course sequence as taught in North American colleges and universities. The teaching approach which the authors advocate embeds the GFC throughout these courses. The main expected outcome from this project is a greater appreciation on the part of the accounting and finance majors that other business disciplines ‘matter.’ Put differently, those disciplines, including economics, banking, and management, interface with accounting and finance. Therefore, to understand accounting, students must be conversant with the other disciplines. The principal interrelating concepts we cover in this approach are as follows: capital maintenance, liquidity, solvency, financial leverage, efficient market hypothesis, transparency in disclosure, derivatives, fair valuation, moral hazard, and ethics. Editor's Note : The continuing repercussions of the GFC were felt on the day when the final version of this paper was submitted (8 August 2011) due to Standard & Poor's downgrading the credit rating of the USA for the first time ever (from AAA to AA+) and this, coupled with problems relating to financial stability across the Eurozone, triggered huge falls on stock markets throughout the world. [ABSTRACT FROM PUBLISHER]

This paper investigates to what extent the mark-up on the lending rate for mortgages depends on expected prepayment. It identifies the effect of the risk of expected prepayment by using a unique dataset of Dutch borrowers insured against default. It is argued that expected prepayment is mainly caused by expected residential mobility of the borrower, which might be due to a change of the value of the collateral or because of a change of income of the borrower. The estimates indicate that lenders require a higher mark-up on the lending rate from households with a lower liquidity constraint, while the collateral constraint has a very limited influence on the mark-up. Thus, it appears that lenders take into account of the possibility that future income shocks may improve the relative position of households in the housing market. [ABSTRACT FROM AUTHOR]

In the midst of the ongoing world financial crisis, the Collateralized Debt Obligation (CDO) became notorious for playing a major role in the decline. The that misuse of the CDO resulted in collapse of the world economy, however, not necessarily imply that the CDO itself is hazardous. This paper explores potential of the CDO approach for controlling general risks, by applying it to classical Newsboy Problem (NBP). The underlying opportunity loss of NBP replaces the credit risk of CDO. For Value at Risk (VaR) problems formulated without or with CDO, extensive numerical experiments reveal that the overall effect of CDO is rather limited. It could be effective, however, if (I) the underlying risk is high in that the variability of the stochastic demand D is substantially large; (ii) the expected profit should be held above a high level; (iii) probability of having a huge loss should be contained; and (iv) the detachment point Kd should be held relatively low. [ABSTRACT FROM AUTHOR]

This section offers news briefs related to finance. BlackRock Mortgage Investors Fund plans to issue residential mortgage-backed securities which reverse engineer conflicts of interest and other problems facing many pre-crisis deals. Several management contracts on three middle-market collateralized loan obligations have been acquired by Fortress Investment Group. Tetragon Financial Management will partner with manager LCM Capital Management on at least two more collateralized loan obligations in 2011.

A worldwide recession of unusual breadth and depth is causing harm to many individuals and businesses. While the causes are complex, the recession got its start with failures in the subprime mortgage market. The process of creating such loans is complex and often includes securitization after loans are approved. The reasons for the subprime lending mess can be at least partly traced to decisions made by individual mortgage brokers and lending officers. These individuals had moral or ethical responsibilities because of their positions. An analysis of the rights and duties approach to ethics shows that some of these individuals failed in their moral duties and that their failure is partly to blame for the resulting harmful consequences. [ABSTRACT FROM AUTHOR]

This paper presents a systematic framework for capturing the collateral-driven mortgage default risk. A forward-looking home price distribution model is developed that explicitly incorporates different sources of volatility in the market value of collateral houses. A consistent and computationally-efficient top-down approach of home price simulation is also introduced. We show that with the proper inclusion of all relevant sources of volatilities, the top-down approach provides close approximation to the results generated by a theoretically sound but computationally demanding bottom-up simulation approach. Using a numerical simulation, we demonstrate that a geographically-diversified mortgage pool entails a substantially lower level of systematic collateral driven mortgage default risk compared to a spatially-concentrated pool. However, the expected default risk is shown to remain unaffected, indicating that the benefit from geographic diversification is only realized through lower risk-based capital requirements, not in lower mortgage insurance premiums. Based on the US state level house price indices, the systematic risk of a state-concentrated mortgage pool is estimated to be about four times higher than that of a nationally-diversified mortgage pool. Our results also show that, among the different volatility components, omitting the cross-sectional dispersion of individual home prices would produce the largest bias in assessing home-price-based mortgage default risk. [ABSTRACT FROM AUTHOR]

A 1.35 ns random access and 1.7 ns-random-cycle SOI embedded-DRAM macro has been developed for the POWER7™ high-performance microprocessor. The macro employs a 6 transistor micro sense-amplifier architecture with extended precharge scheme to enhance the sensing margin for product quality. The detailed study shows a 67% bit-line power reduction with only 1.7% area overhead, while improving a read zero margin by more than 500ps. The array voltage window is improved by the programmable BL voltage generator, allowing the embedded DRAM to operate reliably without constraining of the microprocessor voltage supply windows. The 2.5nm gate oxide (GOX) transistor cell with deep-trench capacitor is accessed by the 1.7 V wordline high voltage (VPP) with -0.4 V WL low voltage (VWL), and both are generated internally within the microprocessor. This results in a 32 MB on-chip L3 on-chip-cache for 8 cores in a 567 mm^2 POWER7™ die. [ABSTRACT FROM AUTHOR]

This paper describes a multi-core processor that integrates 48 cores, 4 DDR3 memory channels, and a voltage regulator controller in a 6\,\times\,4 2D-mesh network-on-chip architecture. Located at each mesh node is a five-port virtual cut-through packet-switched router shared between two IA-32 cores. Core-to-core communication uses message passing while exploiting 384 KB of on-die shared memory. Fine grain power management takes advantage of 8 voltage and 28 frequency islands to allow independent DVFS of cores and mesh. At the nominal 1.1 V supply, the cores operate at 1 GHz while the 2D-mesh operates at 2 GHz. As performance and voltage scales, the processor dissipates between 25 W and 125 W. The 567~\ mm^2 processor is implemented in 45 nm Hi-K CMOS and has 1.3 billion transistors. [ABSTRACT FROM AUTHOR]

A transformer-based high-order output matching network is proposed for broadband power amplifier design, which provides optimum load impedance for maximum output power within a wide operating frequency range. A design methodology to convert a canonical bandpass network to the proposed matching configuration is also presented in detail. As a design example, a push-pull deep class-AB PA is implemented with a third-order output network in a standard 90 nm CMOS process. The leakage inductances of the on-chip 2:1 transformer are absorbed into the output matching to realize the third-order network with only two inductor footprints for area conservation. The amplifier achieves a 3 dB bandwidth from 5.2 to 13 GHz with +25.2 dBm peak Psat and 21.6% peak PAE. The EVM for QPSK and 16-QAM signals both with 5 Msample/s are below 3.6% and 5.9% at the output 1 dB compression point. This verifies the PA's capability of amplifying a narrowband modulated signal whose center-tone can be programmed across a large frequency range. The measured BER for transmitting a truly broadband PRBS signal up to 7.5 Gb/s is less than 10^-13, demonstrating the PA's support for an instantaneous wide operation bandwidth. [ABSTRACT FROM AUTHOR]

Implementing efficient and cost-effective power regulation schemes for battery-powered mixed-signal SoCs is a key focus in integrated circuit design. This paper presents a fully-integrated switched-capacitor DC-DC converter in 45 nm digital CMOS technology. The proposed implementation uses digital capacitance modulation instead of traditional PFM and PWM control methods to maintain regulation against load current changes. This technique preserves constant frequency switching while also scaling switching and bottom-plate losses with changes in load current. Therefore, high efficiency can be achieved across different load current levels while maintaining a predictable switching noise behavior. The converter occupies only 0.16 \ mm^2, and operates from 1.8 V input. It delivers a programmable sub-1~V power supply with efficiency as high as 69% and load current between 100 \mu\A and 8 mA. Measurement results confirm the theoretical basis of the proposed design. [ABSTRACT FROM AUTHOR]

A fully-integrated FMCW radar system for automotive applications operating at 77 GHz has been proposed. Utilizing a fractional-N synthesizer as the FMCW generator, the transmitter linearly modulates the carrier frequency across a range of 700 MHz. The receiver together with an external baseband processor detects the distance and relative speed by conducting an FFT-based algorithm. Millimeter-wave PA and LNA are incorporated on chip, providing sufficient gain, bandwidth, and sensitivity. Fabricated in 65-nm CMOS technology, this prototype provides a maximum detectable distance of 106 meters for a mid-size car while consuming 243 mW from a 1.2-V supply. [ABSTRACT FROM AUTHOR]

A digitally controlled oscillator (DCO) that achieves a minimum frequency quantization step of 150 Hz without any dithering is presented. The fine digital tuning is obtained through a capacitive degeneration of a portion of the transistor switching pair used in a classical LC-tank oscillator. The new tuning circuitry does not appreciably affect the intrinsic oscillator phase noise and allows to trim the frequency with a programmable resolution for calibration and multi-standard operation. A prototype integrated in 65 nm CMOS technology exhibits a phase noise of -\ 127.5~dBc/\ Hz @ 1 MHz drawing 16 mA from a supply of 1.8 V, resulting in a FoM of 183 dBc/Hz. The active area is 700\ \mu\ m \times \,450\ \mu\ m. [ABSTRACT FROM AUTHOR]

This article explores slave mortgages from the 18th and 19th-century public records of Virginia, South Carolina, and Louisiana and considers both the economic and social impact that mortgages had on enslaved people in the Southern States during the period. Some of the subjects considered include the velocity of money, both Colonial and Antebellum policies towards collateral-based issuance of credit based on slaves, both American and British banks and banking practices, international business relations, and the impact of foreclosures on slave families.

We investigate the effects of certain simplifying assumptions that are often made when valuating tranches of collateralized debt obligations (CDOs) using a firm's value approach. Those assumptions are the homogeneity and largeness of the portfolio and the so-called European approximation. The error made in this way is measured by comparing the result to a model with less simplification which is evaluated by the use of Monte Carlo simulation. [ABSTRACT FROM AUTHOR]

We studied the short- and long-term effects of heavy-ion strikes on silicon-on-insulator (SOI) FinFET devices manufactured in a sub 32-nm CMOS process. The degradation of the device DC characteristics after irradiation strongly depends on the incidence angle, strain, and channel type, depending on the balance between damage to the high-k gate oxide and to the buried oxide. The time-dependent dielectric breakdown (TDDB) and the device parameter degradation kinetics are affected by the LET, ion fluence, and incidence angle. A reduction in TDDB is observed in irradiated FinFETs with respect to unirradiated ones. [ABSTRACT FROM AUTHOR]

This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool from 1992 to 2004 using a novel measure, based on changes in net operating incomes and property values at the metropolitan statistical area-property-type-year level. Employing a semi-parametric competing risks model for a variety of specifications, we find that the probability of default is extremely low even at very high levels of stress, although the coefficient estimates of greatest interest are very statistically significant. These results suggest substantial lender forbearance and are consistent with previous research that models default as a “gradual dynamic process” rather than a “ruthless” exercise once “in the money.” [ABSTRACT FROM AUTHOR]

This article examines the evolution of real estate investment trust (REIT) capital structure in the new REIT era with a focus on the effects of banking relationships on REIT capital structure. Using a unique sample of REITs from 1992 to 2003, we find that, after controlling for firm characteristics, REITs with banking relationships are more likely to obtain long-term debt ratings and subsequently issue public debt. Moreover, REITs with banking relationships tend to use less secured debt and have lower leverage. These findings support the notion that banking relationships facilitate REITs' access to the public debt markets and help explain why REITs shift from traditional mortgage financing to bank debt and public capital market financing. The results also support the proposition that firm leverage should be positively related to the amount of a firm's secured debt. [ABSTRACT FROM AUTHOR]

In this article the authors examine issues related to the securitization of asset back securities. They focus on the importance of sponsor quality in asset backed securities at the time of the global financial crises of 2008-09 and the subsequent recession. A number topics from the research are addressed including the fact that investors overlooked valuable information about sponsors of asset backed securities, the financial performance of collateralized debt obligations, and the underwriting of bonds based on factors unrelated to risk.

Credit derivatives have been popular instruments for hedging of credit risks by banks and financial institutions. The notional value outstanding of credit default swap contracts, a type of credit derivative most in use, increased from US$6.4 trillion in December 2004 to US$57.89 trillion in December, 2007. However, this instrument, which was once 'apple of the eye' of market players, lost its sheen in the wake of the sub-prime crisis when it was perceived to have played a major role in igniting the crisis and spreading it across the global financial system. This article presents how this came about and the after thought of the regulators of developed countries in regulating these instruments. It then looks at what lessons India can draw from the experience of the Western nations before considering introduction of credit derivatives in the Indian markets. [ABSTRACT FROM AUTHOR]

Collateralized Mortgage Obligations (CMO) can exhibit different degrees of cash flow variability depending on tranche structure and realized prepayment speeds. In order to have a meaningful comparison across structures and collateral types an Option-Adjusted Spread (OAS) methodology is typically used. While OAS provides an improvement to yield-to-maturity for CMO, it does not always make a good comparison between structures with differing convexities. We introduce a related methodology which involves designing an optimal, static hedge. Our valuation directly takes into account the cost of setting up that hedge and thus appears to more fully take into account the negative convexity of a CMO. Numerical results for a simple, transparent binomial model and for market-calibrated Monte-Carlo simulation are given. [ABSTRACT FROM AUTHOR]

The pricing of collateralized debt obligations (CDOs) and other basket credit derivatives is contingent upon (i) a realistic modelling of the firms' default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the individual firms' default time distributions. Factor models, a widely used class of pricing models, are computationally tractable despite the large dimension of the pricing problem, thus satisfying issue (ii), but to have any hope of calibrating CDO data, numerically intense versions of these models are required. We revisit the intensity-based modelling setup for basket credit derivatives and, with the aforementioned issues in mind, we propose improvements (a) via incorporating fast mean-reverting stochastic volatility in the default intensity processes, and (b) by considering homogeneous groups within the original set of firms. This can be thought of as a hybrid of top-down and bottom-up approaches. We present a calibration example, including data in the midst of the 2008 financial credit crisis, and discuss the relative performance of the framework. [ABSTRACT FROM AUTHOR]

We estimate consumption Euler equations using U.K. household-level data, employing a switching regression technique. We find excess sensitivity to income for one group of households but not for a second group. The likelihood of excess sensitivity is greater for the young, those without liquid assets, the degree-educated, ethnic minorities and those with negative home equity, consistent with liquidity constraints and buffer-stock saving. Housing capital gains affect the consumption plans of the excess sensitivity group of households, but not the other group. These results are consistent with a "collateral channel" for housing. Around 20%-40% of U.K. households display excess sensitivity. [ABSTRACT FROM AUTHOR]

This section offers news briefs concerning the financial market in the U.S. as of April 2004. Fannie Mae has created the first resecuritization of collateralized mortgage obligations. Investors buying commercial mortgage-backed securities may see rates of return soar. Mortgage market participants expressed their concern over proposed bankruptcy legislation.

Abstract: The fourth-generation (4G) of cellular terminals will integrate the services provided by previous generations second-generation/third-generation (2G/3G) with other applications like global positioning system (GPS), digital video broadcasting (DVB) and wireless networks, covering metropolitan (IEEE 802.16), local (IEEE 802.11) and personal (IEEE 802.15) areas. This new generation of hand-held wireless devices, also named always-best-connected systems, will require low-power and low-cost multi-standard chips, capable of operating over different co-existing communication protocols, signal conditions, battery status, etc. Moreover, the efficient implementation of these chipsets will demand for reconfigurable radio frequency (RF) and mixed-signal circuits that can adapt to the large number of specifications with minimum power dissipation at the lowest cost. Nanometer CMOS processes are expected to be the base technologies to develop 4G systems, assuring mass production at low cost through increased integration levels and extensive use of digital signal processing. However, the integration in standard CMOS of increasingly complex analog/RF parts imposes a number of challenges and trade-offs that make their design critical. These challenges are addressed in this paper through a comprehensive revision of the state-of-the-art on transceiver architectures, building blocks and design trade-offs of reconfigurable and adaptive CMOS RF and mixed-signal circuits for emerging 4G systems. [Copyright &y& Elsevier]