发布求助
文献互助 智能选刊 最新文献

Journal of Structured Finance最新文献

筛选
英文 中文
Fundamental Credit Analysis through Dynamical Modeling and Simulation of the Balance Sheet: Case Study of Chinese Real Estate Developers 基于资产负债表动态建模与仿真的基础信用分析——以中国房地产开发商为例
IF 0.4
Journal of Structured Finance Pub Date : 2022-05-09 DOI: 10.3905/jsf.2022.1.137
J. W. Xu
{"title":"Fundamental Credit Analysis through Dynamical Modeling and Simulation of the Balance Sheet: Case Study of Chinese Real Estate Developers","authors":"J. W. Xu","doi":"10.3905/jsf.2022.1.137","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.137","url":null,"abstract":"Fundamental credit analysis, widely performed by fixed-income analysts and financial institutions, has yet to develop a method that computes, directly from a company’s financial statements, the default probability, recovery rate upon default, and the fundamental valuation of a company’s credit risk in terms of the prices of its debts. This article introduces a computationally scalable approach to achieve these goals by modeling the dynamics of the multidimensional balance sheet, in which default is defined as the negative level of cash. Using six to eight years of annual financial statements up till 2020 as inputs, the method is applied to several Chinese real estate developers to forecast by simulation their future financials, including default scenarios, and to derive their fundamental credit spreads. The results both agreed and disagreed with the market-traded credit spreads at the time of the forecasts. The model priced the China Evergrande Group’s debt in deep distress-levels more than six months before the company’s actual default.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"10 - 24"},"PeriodicalIF":0.4,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41466809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Impact of Issued Loans on the Economic Growth of Azerbaijan 已发放贷款对阿塞拜疆经济增长的影响
IF 0.4
Journal of Structured Finance Pub Date : 2022-04-30 DOI: 10.3905/jsf.2022.1.136
N. Akbulaev, Nigar Huseynli, Tabriz Aliyev
{"title":"Impact of Issued Loans on the Economic Growth of Azerbaijan","authors":"N. Akbulaev, Nigar Huseynli, Tabriz Aliyev","doi":"10.3905/jsf.2022.1.136","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.136","url":null,"abstract":"Financial policy, which is an integral part of economic policy, is subdivided into financial strategy and tactics. This article examines the priorities of the latest credit and financial tactics and strategies of the Republic of Azerbaijan and shows how the country is solving the problem of acquiring financial resources, both for current needs and the economic and social development of society. The authors analyze the dependence of the resulting indicators of Azerbaijan’s economic growth on credit investments. Using a vector error correction model and Granger causality analysis based on monthly data from 2005–2019, they perform correlation and regression analysis to build econometric models that characterize the investigated dependence and provide a selection of significant econometric models, as well as an assessment of the results. The influence of financial progress on monetary development has frequently been a major worry. When financial crises arise, the relationship between financial business areas, financial crises, and monetary activity becomes paramount. The primary reason for this research is to identify the relationship between financial development and monetary advancement in the Azerbaijani economy.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"58 - 73"},"PeriodicalIF":0.4,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41679555","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Highlights from the Structured Finance Association (SFA) 结构性金融协会（SFA）的亮点
IF 0.4
Journal of Structured Finance Pub Date : 2022-04-30 DOI: 10.3905/jsf.2022.28.1.066
{"title":"Highlights from the Structured Finance Association (SFA)","authors":"","doi":"10.3905/jsf.2022.28.1.066","DOIUrl":"https://doi.org/10.3905/jsf.2022.28.1.066","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"66 - 75"},"PeriodicalIF":0.4,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45861080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Highlights from Global Capital 环球资本亮点
IF 0.4
Journal of Structured Finance Pub Date : 2022-04-30 DOI: 10.3905/jsf.2022.28.1.058
Jennifer Kang
{"title":"Highlights from Global Capital","authors":"Jennifer Kang","doi":"10.3905/jsf.2022.28.1.058","DOIUrl":"https://doi.org/10.3905/jsf.2022.28.1.058","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"58 - 65"},"PeriodicalIF":0.4,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43345322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Editor’s Letter 编辑的信
IF 0.4
Journal of Structured Finance Pub Date : 2022-04-30 DOI: 10.3905/jsf.2022.28.1.001
Mark Adelson
{"title":"Editor’s Letter","authors":"Mark Adelson","doi":"10.3905/jsf.2022.28.1.001","DOIUrl":"https://doi.org/10.3905/jsf.2022.28.1.001","url":null,"abstract":"","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"1 - 7"},"PeriodicalIF":0.4,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47784477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Aftershock: The Effect of the Pandemic on Mortgage Securitization 余震:大流行对抵押贷款证券化的影响
IF 0.4
Journal of Structured Finance Pub Date : 2022-03-25 DOI: 10.3905/jsf.2022.1.135
Frank E. Nothaft, Patrick H. Kiser, Molly Boesel
{"title":"Aftershock: The Effect of the Pandemic on Mortgage Securitization","authors":"Frank E. Nothaft, Patrick H. Kiser, Molly Boesel","doi":"10.3905/jsf.2022.1.135","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.135","url":null,"abstract":"An unexpected result of the COVID-19 pandemic was the resurgence of private-label securitization (PLS) in 2021. This article reviews the effect of the two-year pandemic on single-family mortgage volume and performance with a focus on PLS and a view into some of the lasting impacts. PLS issuance in 2021 was the largest since 2007, with four-fifths backed by prime jumbo and Alt-A non-QM product. Fast-rising home prices expanding the jumbo loan population and record low mortgage rates triggering a refinance boom and pay-off acceleration supported new issuance. Although borrower financial distress precipitated a spike in delinquency rates, delinquencies at the end of 2021 were generally below levels two years earlier except for long-term delinquency (more than fifteen months past due). PLS delinquency varies substantially across the nation, with states hit particularly hard by the pandemic, recession, and natural hazards having serious delinquency rates of more than 25% above the national level.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"27 - 37"},"PeriodicalIF":0.4,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45646529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
eMortgage Adoption: Acceleration through the Pandemic 抵押贷款采用:在大流行期间加速
IF 0.4
Journal of Structured Finance Pub Date : 2022-03-18 DOI: 10.3905/jsf.2022.1.134
Mike Fratantoni
{"title":"eMortgage Adoption: Acceleration through the Pandemic","authors":"Mike Fratantoni","doi":"10.3905/jsf.2022.1.134","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.134","url":null,"abstract":"Adoption of fully electronic mortgages (eMortgages) jumped over the past few years. This study examines the reasons why adoption of eMortgages had lagged and why the market may currently be at a tipping point, moving toward a period of more rapid adoption. The study also examines industry-level productivity statistics to determine the extent to which this adoption has led—and could in the future lead—to faster processing speeds and thereby lower costs for lenders and borrowers. In prior research regarding technology adoption in financial services, there is a theme that cost advantage isn’t enough to promote adoption: It takes time to overcome institutional constraints, central counterparties need to adopt and accept the technology, and sometimes an external shock is needed to move things along. The COVID-19 pandemic has been such a shock for the mortgage industry, accelerating adoption of a number of digital processes.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"12 - 26"},"PeriodicalIF":0.4,"publicationDate":"2022-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44566091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shifting Drivers for US House Prices 美国房价的驱动因素
IF 0.4
Journal of Structured Finance Pub Date : 2022-03-16 DOI: 10.3905/jsf.2022.1.133
Francis Parisi
{"title":"Shifting Drivers for US House Prices","authors":"Francis Parisi","doi":"10.3905/jsf.2022.1.133","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.133","url":null,"abstract":"Historically, US house prices track key housing and economic factors such as housing starts, housing inventory, employment, interest rates, and consumer price indices, to name a few. During the past two years, the US economy has gyrated through myriad distortions resulting from the government’s various attempts to control the pandemic. Most recently, the administration has adopted policies that have further disrupted the economy, leading to increases in consumer prices and shortages of goods. We study the potential change in the connection between US house prices and key drivers before and after the onset of the pandemic. We take several approaches to this question, including studying cross-correlations of the multivariate time series, estimating a seasonal ARIMA model, and fitting seemingly unrelated regressions. Finally, we model house prices as a univariate time series. We find some evidence of a change in the association between house prices and other economic measures from before to after the covid response.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"48 - 57"},"PeriodicalIF":0.4,"publicationDate":"2022-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47771649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Improvements in Financing Could Increase the Single-Family Affordable Housing Supply 融资的改善可能会增加单户经济适用房的供应
IF 0.4
Journal of Structured Finance Pub Date : 2022-03-09 DOI: 10.3905/jsf.2022.1.132
L. Goodman, Karan Kaul, Michael Neal
{"title":"Improvements in Financing Could Increase the Single-Family Affordable Housing Supply","authors":"L. Goodman, Karan Kaul, Michael Neal","doi":"10.3905/jsf.2022.1.132","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.132","url":null,"abstract":"The United States faces a shortage of housing supply, estimated to be millions of units. This shortage is especially acute in the affordable sector. Although the causes of the supply shortage are many, we focus on one major set of constraints: financing. In particular, we focus on how to improve financing for the three types of affordable single-family housing where we see the most potential: manufactured housing (MH), accessory dwelling units (ADUs), and housing preservation. We argue that these financing issues constrain production; improving financing will grow consumer demand for affordable housing and preservation and prompt builders and manufacturers to respond by increasing supply. Finally, we try to quantify the potential impact in each of these areas to increase housing supply. Overcoming these financing hurdles would remove a major roadblock facing MH, ADU, and housing preservation and allow for the addition of a significant number of units of affordable housing supply.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"38 - 47"},"PeriodicalIF":0.4,"publicationDate":"2022-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44678458","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
CLOs in Hypergrowth Mode, but LIBOR Transition a Near-Term Challenge clo处于超增长模式，但LIBOR转型是近期挑战
IF 0.4
Journal of Structured Finance Pub Date : 2022-02-10 DOI: 10.3905/jsf.2022.1.131
Alankar Ranade
{"title":"CLOs in Hypergrowth Mode, but LIBOR Transition a Near-Term Challenge","authors":"Alankar Ranade","doi":"10.3905/jsf.2022.1.131","DOIUrl":"https://doi.org/10.3905/jsf.2022.1.131","url":null,"abstract":"After displaying resilience during the initial phase of the pandemic (in 2Q20) and recording stellar performance since 3Q20, the collateralized loan obligation (CLO) market has gained significant credibility, crossing the USD1tn size mark and experiencing widespread participation. Corporate earnings rebounded strongly after 2Q20 and are expected to continue to grow in 2022. However, there are a number of macro and industry-specific headwinds to watch out for. The CLO market also faces its next major challenge of transitioning away from the London interbank offered rate (LIBOR) regime. Although the newly mandated base rates resolve the issues LIBOR regulators wanted to correct, they bring a whole new set of challenges for the market. This article explores the current CLO market landscape, outlook for 2022, key macro challenges facing the market, LIBOR transition problem, and role of each participant in ensuring a smooth LIBOR transition.","PeriodicalId":51968,"journal":{"name":"Journal of Structured Finance","volume":"28 1","pages":"74 - 87"},"PeriodicalIF":0.4,"publicationDate":"2022-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48801268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信