Finance and Financial Management Commons^™

Credit Rationing In The U.S. Mortgage Market: Evidence From Variation In Fha Market Shares, Brent W. Ambrose, Anthony Pennington-Cross, Anthony M. Yezer

Finance Faculty Research and Publications

This paper examines the nature of mortgage credit rationing across geographic markets and time. Particular attention is paid to the response of conventional mortgage supply to higher risk conditions associated with regional recessions. We develop a series of four indirect tests based on the spatial variation of the FHA share of mortgages, both endorsements and applications, as well as FHA and conventional rejection rates. Results of these four tests indicate that conventional mortgage underwriting criteria do not become more flexible and may even become more demanding when local economic conditions deteriorate. This result indicates the use of non-price credit rationing …

Forecasting Research & Development Program Budgets Using The Weibull Model, Thomas W. Brown

Theses and Dissertations

Norden (1970) uses the Rayleigh, which is a degenerative of the Weibull, to model manpower on research and development (R&D) programs. Several research efforts extend his work including Lee, Hogue, and Gallagher (1997) who build R&D program budgets based on Rayleigh expenditures. We demonstrate the theoretical limitations to the Rayleigh model and present the Weibull model, which mitigates those limitations. Using 102 completed R&D defense programs, we develop regression models to predict the requisite shape and scale parameters to forecast Weibull-based budgets. Using the remaining 26 completed R&D programs to validate the robustness of our regression models, we show that …

A Life Cycle Cost Analysis Of The Proposed Replacement Of Pope Air Force Base's C-130e Fleet Using A Fleet Replacement Model, Lance R. French

Theses and Dissertations

The 43rd Airlift Wing at Pope AFB, NC, possesses 33 E-model C-130 aircraft. The airplanes range in age from 30-36 years old. Current plans call for replacing Pope's aging fleet of tactical airlifters with new C-130J model planes in FY11. There are two replacement alternatives proposed in this research. The first is to calls for replacing the C-130Es with C-130Js now. The second option is upgrade the C-130Es to C-130Xs and replace them in 10 years with the C-130J. The results indicate that the least cost solution is to upgrade Pope's fleet of C-130Es to C-130Xs now. However, after conducting …

Fixing Mistakes In Your Credit Report, Barbara Rowe

All Current Publications

No abstract provided.

Sampling Concepts, Paul Boyd, Ph.D.

MBA Faculty Conference Papers & Journal Articles

The usefulness of any research is dependent upon how well the group studied represents the group about which decisions are to be made or conclusions drawn. That is, it depends upon how well the sample reflects relevant characteristics of the population. When it is possible to study every member of that group there is no problem, for on these occasions we can easily calculate the exact attribute (parameter) of interest for our population.

For example, if we were interested in determining the average number of gallons of gasoline sold to customers at our service station yesterday, we …

Indiana State University Financial Report 2002, Indiana State University

Financial Reports

No abstract provided.

Asset Pricing Under The Quadratic Class, Markus Leippold, Liuren Wu

CRIF Working Paper series

We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two general transform methods in pricing a wide variety of fixed income derivatives in closed or semi-closed form. We further illustrate how the quadratic model and the transform methods can be applied to more general settings.

Proposal For A Centralized And Integrated Registry For Security Interests In Intellectual Property, William J. Murphy

Law Faculty Scholarship

As the world economy enters the twenty-first century, job and wealth creation is increasingly based on innovation and creativity that, in turn, can give rise to important intellectual property rights. For many companies and individuals these intellectual property rights may represent their most valuable assets, or in some cases, their only valuable assets. As a result, intellectual property rights increasingly play a critical the role in financing.

Unlocking the job and wealth creating potential of intellectual property assets requires putting these assets into use, and that often requires a capital investment. Unfortunately, many entrepreneurs and innovators lack the capital necessary …

2001-2002 Financial Summary, Morehead State University. Budget & Financial Planning Office.

Morehead State University Financial Summaries Archive

2001-2002 Financial Summary of Morehead State University.

Are Sri Funds Different From Non-Sri Funds, From A Financial Asset Perspective?: Evidence From Some Australian Sri Funds, Ingebjørg Kristoffersen

Theses : Honours

Socially Responsible Investment (SRI) has seen a remarkable growth in recent years – primarily in the US and UK, but also in other markets including Australia. This growth, along with the development of corporate social responsibility, is suggested to be a result of increased awareness in social, environment and human rights issues. The literature offers several suggestions as to how SRIs and SRI funds may differ from other investments, as financial assets. It has been suggested that SRIs are more likely to represent smaller stocks, and also more likely represent growth rather than value stocks compared to non-SRIs. Furthermore, different …

Modeling Size-Of-Loss Distributions For Exact Data In Winbugs, David P.M. Scollnik

Journal of Actuarial Practice (1993–2006)

This paper discusses how the statistical software WinBUGS can be used to implement a Bayesian analysis of several popular severity models applied to exact size-of-Ioss data. The particular models targeted are the gamma, inverse gamma, loggamma, lognormal, (two-parameter) Pareto, inverse (two-parameter) Pareto, Weibull, and inverse Weibull distributions. It is possible to implement additional size-of-Ioss models (including those for truncated data) using methods analogous to those described herein.

Unearned Premiums And Deferred Policy Acquisition Expenses In Automobile Extended Warranty Insurance, Joseph Cheng

Journal of Actuarial Practice (1993–2006)

A prorata formula is commonly used to calculate unearned premium reserves in property-casualty insurance. I believe, however, that an exposure-adjusted formula is more appropriate in automobile extended warranties. This paper describes the exposure-adjusted approach to calculate the unearned premium reserves of an automobile extended warranty insurance program, to test the adequacy of the calculated reserves, and to determine the allowable deferred policy acquisition expenses from an insurance company's perspective.

Can Utility-Maximization Models Assist With Retirement Planning?, Zaki Khorasanee

Journal of Actuarial Practice (1993–2006)

Utility-maximization models for optimizing portfolio choices can be subdivided into two classes: those based on maximizing the expected utility of lifetime consumption and those based on maximizing the expected utility of retirement wealth. It is argued that the first type of model, which optimizes both saving and investment decisions, is difficult to apply in practice because of inadequate (or unreliable) information about individual preferences. Although the second type of model only optimizes investment decisions, it is of greater practical value because fewer data on individual preferences are required. The second type of model is used to derive formulae for the …

Some Comments On The Pricing Of An Exotic Excess Of Loss Treaty, Jean-Francois Walhin

Journal of Actuarial Practice (1993–2006)

This paper uses a multivariate analog of Panjer's algorithm to develop a method for pricing a complex excess of loss treaty. The treaty is such that some layers inure to the benefit of other layers. The structure of this treaty is discussed. Numerical examples are provided.

Communicating Effectively With Words, Numbers, And Pictures: Drawing On Experience, Karolina Duklan, Michael A. Martin

Journal of Actuarial Practice (1993–2006)

In this paper, we discuss techniques for developing effective communication skills, focusing in particular on technical writing, the use of graphics, and presentation. The key principles of effective communication that we propose to actuaries are as follows:

• Identify your audience and consider their needs and abilities;

• Focus on substantive content;

• Choose appropriate communication tools;

• Use language that is simple, concrete, and familiar;

• Integrate text, numbers, and graphics;

• Respond to information complexity creatively.

We focus in particular on the use of graphics as a communications tool as they are an efficient and potentially highly effective …

Further Remarks On Risk Sources Measuring: The Case Of A Life Annuity Portfolio, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Journal of Actuarial Practice (1993–2006)

The paper considers a model that allows the actuary to measure the riskiness connected to the randomness of projected mortality tables in evaluating a portfolio of life annuities, obtaining a measure to reflect the risk associated with the randomness of the projection. The coherence of the risk parameters with the specific nature of the considered risk sources is also discussed. Numerical examples illustrate the results, showing the importance of the risk components in terms of the number of policies and comparing measure tools obtained by means of two procedures.

A Note On The Parallelogram Method For Computing The On-Level Premium, David P.M. Scollnik, Wai Man Sara Lau

Journal of Actuarial Practice (1993–2006)

This paper discusses the differences appearing in the descriptions of the parallelogram method for the determination of earned premium at current rate levels given by McClenahan (1996) and Brown and Gottlieb (2001). It observes that the former is consistent with the method of extending exposures while the latter is not. An illustration is provided. This paper also discusses two other approaches to the determination of the earned premium.

Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu

Journal of Actuarial Practice (1993–2006)

This paper studies the dynamic funding policy and investment strategy for defined benefit pension plans using one of the most comprehensive dynamic pension models to date. The model includes three investable assets: one risk free and two risky. The optimal plan decisions are formulated as a stochastic control problem that is solved using dynamic programming. The objective function uses performance measures to take into account the stability and solvency of the plan. The model is then applied to a Taiwanese pension.

Islamic Banking And Takaful : The Development And Future Challenges In Malaysia, Jalaludin Mohd Noor, Khairuddin Hanafiah

Student Works (2000-2009)

The establishment of the Mil Ghamr Local Savings Bank of Egypt in 1963 marked a new milestone in the development of Islamic banking system. The interest-free banking concepts introduced by Mil Ghamr signaled to the Muslim community that Islamic principles were applicable to modern day banking business. The government of Malaysia has been actively promoting Islamic banking with the view to have Islamic financial system operating side-by-side with the conventional interest-based system, Both are geared towards the nation's socio­economic development goals. The establishment of Bank Islam Malaysia Berhad in 1983 was the first step towards this vision. Ten years later, …

Pemikiran Abu Yusuf Mengenai Kewangan Islam : Kajian Dalam Kitab Al-Kharaj, Hanin Mahamud Azaki

Student Works (2000-2009)

This dissertation explains the contribution of Abu Yusuf in Islamic Finance based on his Kitab al-Kharaj in which he has been regarded as an outstanding Muslim thinker of Hanafi school of thought. In this work, Abu Yusuf highlighted the position of land taxation (al-kharaj) according to Islamic perspective. ln other words, it tries to view Islamic rulings concerning land tax, its procedures as well as its measurement. Hopefully it will assist in the implementation of land tax accordance with the spirit of Islam. Chapter one explains the background of Abu Yusuf, his teachers and writings. Chapter two mentions the theory …

Akad Al-Bay Bi Thaman Ajil Di Bank Rakyat Mengikut Perspektif Undang-Undang Kontrak Islam, Hamizan Mohd. Nor

Student Works (2000-2009)

Al-bay bi thaman ajil (BBA) is a financing contract according to Islamic principles. It is a well-known product and is offered by Islamic Banking System in Malaysia including Bank Rakyat itself. The product is an alternativies to the financing scheme of the conventional bank. Therefore, the dissertation studies the practice of SBA contract with attention given to the concept and nature of BBA contract in the Islamic transaction and its practise at Bank Rakyat. The study also discusses certain relevant concept such as debt, buy and selling (transaction), profits and usury in Islam all of which constitute some important aspects …

Persistence Of Profits : Intra-And Inter-Sector Comparisons, Liew Toh Peng

Student Works (2000-2009)

The dynamics of the competition in a market economy is expected to function continuously to eliminate the profit differentials among different firms or industries in the· long run. The persistence of profit rates differentials was estimated with an autoregressive model for a sample of firms listed in 9 sectors of the Main Board of Kuala Lumpur Stock Exchange (KLSE). We applied the methodology proposed by lm et al. ( I 997) to test for the persistence of profits in a panel data structure. A few specifications were considered and the autoregressive model without a lagged difference term was the best …

Linkages Between The Malaysian And Other Selected Stock Markets Before And After The 1997 Financial Crisis : Evidence From Cointegration Tests, Ai Ting Foo

Student Works (2000-2009)

A lot of focus has been placed on the interdependence of stock markets over the last two decades in view of the trend towards market deregulation and globalization of economies. Therefore, this paper attempts to examine the linkages among the stock markets pre- and post-1997 financial crisis. This paper analyzes the linkages between the Malaysian stock market with the United States of America (US), Hong Kong, Taiwan, South Korea, Singapore, Thailand, Indonesia and Philippines using pairwise cointegration. The study uses weekly data from January 1994 to Jun 2001. Johansen and Juselius (JJ) ( 1990) co integration approach is used to …

The Use And Usefulness Of Managed Fund Ratings In Australia, Paul Gerrans

Theses: Doctorates and Masters

Managed fund ratings have become an increasingly available piece of information to guide choice of managed funds. From the perspective of modem portfolio theory and specifically within the efficient markets paradigm, the value of such information is questionable. No profitable relationship should be able to be demonstrated between a fund rating and its subsequent performance. This thesis investigates the relationship between fund ratings and subsequent performance using Morningstar ratings, the most prominent Australian rating provider, for two of the largest and most important groups of managed funds. A positive relationship between a fund's star rating, its quantitative and qualitative components, …

Extension Risk In Commercial Mortgages, Charles C. Tu, Mark Eppli

Finance Faculty Research and Publications

Historical data and Monte Carlo simulation is used to examine the likelihood of loan extension and potential losses associated with extension. It is found that extension probability is highly sensitive to property NOI growth, to NOI volatility, to the amortization schedule, and to the loan term. It is found that extension risk is largely unaffected by changing credit spreads, changing yield curve assumptions, and changing term default assumptions. It is found that changing the underwriting standards affects the probability of loan extension in a somewhat muted way. It is estimated that the loss during extension is approximately 2%-3% of the …

Rapid, Specific Determination Of Iodine And Iodide By Combined Solid-Phase Extraction/Diffuse Reflectance Spectroscopy, Matteo P. Arena, Marc D. Porter, James S. Fritz

Finance Faculty Research and Publications

A new, rapid methodology for trace analysis using solid-phase extraction is described. The two-step methodology is based on the concentration of an analyte onto a membrane disk and on the determination by diffuse reflectance spectroscopy of the amount of analyte extracted on the disk surface. This method, which is adaptable to a wide range of analytes, has been used for monitoring ppm levels of iodine and iodide in spacecraft water. Iodine is used as a biocide in spacecraft water. For these determinations, a water sample is passed through a membrane disk by means of a 10-mL syringe that is attached …

Subprime Lending In The Primary And Secondary Mortgage Market, Anthony Pennington-Cross

Finance Faculty Research and Publications

This article provides an exploratory analysis of the role of subprime lending through an examination of the spatial distribution of Federal Housing Administration (FHA)—eligible home purchase loans in the primary and secondary mortgage markets. Loan originations are aggregated to the metropolitan statistical area level to examine the proportion of the market served by FHA, prime, and subprime lenders. The article then examines whether subprime lenders hold their loans in portfolio or sell them to private conduits.

Primary market results indicate that subprime lenders are more active in cities with worse economic risk characteristics. Secondary market results indicate that although subprime …

Adr Risk Characteristics And Measurement, Tom Arnold, Lance Nail, Terry D. Nixon

Finance Faculty Publications

While a healthy empirical literature exists on international diversification and its benefits, surprisingly few studies have examined the risk characteristics and efficacy of asset pricing models for one avenue of international diversification – investments in American Depository Receipts (ADRs). Originating in approximately 1927, ADRs provide an opportunity for investors to indirectly purchase shares of foreign firms. ADRs represent a claim to a given number of shares of a foreign firm held by a U.S. financial institution (e.g., Bank of New York). With the increasingly significant presence of ADR trading in the American stock markets – increasing six-fold between 1990 and …

Diversification Benefits From Foreign Real Estate Investment, C. Mitchell Conover, H. Swint Friday, G. Stacy Sirmans

Finance Faculty Publications

Previous research has questioned the stability of international equity diversification. This study examines whether foreign real estate exists in a more segmented market and whether foreign real estate provides any diversification benefit beyond that obtainable from foreign stocks. Using data encompassing the stock market crash of 1987, foreign real estate was found to have a lower correlation with U.S. stocks than foreign stocks. This lower correlation is shown to be stable through time as foreign real estate has a lower correlation in nearly the entire time period. Foreign real estate was also found to have a significant weight in efficient …

A Rhetorical Analysis Of Theodore Hesburgh's Fund-Raising Speeches For The University Of Notre Dame, Peggie Mathaba Ncube

Dissertations

Problem Statement. Literature reveals that college or university presidents play a key role in raising funds for their institutions. These roles are well documented, and yet many presidents face challenges in raising adequate funds for their institutions. Success stories of some university presidents are recorded, but no research has studied their rhetoric in raising funds in an attempt to uncover their formula for success. One such president is Theodore Hesburgh of the University of Notre Dame.

Methodology. This study assumes a rhetorical design, specifically the Burkean dramatistic approach to analyze Theodore Hesburgh's fund-raising speeches to the alumni of the …