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ESSAYS IN FALLOUT RISK AND CORPORATE CREDIT RISK
by
Pouyan Mashayekh Ahangarani
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In partial Fulfillment of the
Requirements for the Degree
DOCTOR OF PHILOSPHY
(ECONOMICS)
August 2007
Copyright 2007 Pouyan Mashayekh Ahangarani
Object Description
| Title | Essays in fallout risk and corporate credit risk |
| Author | Mashayekh Ahangarani, Pouyan |
| Author email | mashayek@usc.edu |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Economics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2007-06-15 |
| Date submitted | 2007 |
| Restricted until | Restricted until 8 Aug. 2009. |
| Date published | 2009-08-08 |
| Advisor (committee chair) | Jones, Chris |
| Advisor (committee member) |
Betts, Caroline Hsiao, Cheng Sangvinatsos, Antonios |
| Abstract | Managing pipeline risk has been a challenge in the mortgage industry. Any locked loan is like a put option on a callable bond that is given for free to the customer. The mortgage bank has to hedge its risk against interest rate change, but the proportion of the eventually funded loans is unknown beforehand. In this study, we extend the destinations of a locked loan to four different states: closing, canceling, extending, and renegotiation. We will try to find the probability of exiting to each destination as a function of market price change and other borrowers' attributes. Modeling these probabilities helps the mortgage bank to hedge its pipeline risk more efficiently. In addition, the different risk averseness of various borrowers, which has been an interesting topic in finance theory, has been observed in this study. Women, married couples, and younger people show more risk averseness than other groups. Merton model will be challenged by introducing a new model for corporate defaults. Empirically, the new model which drops the option theoretic approach of Merton has a better explanatory power of the default probabilities. Jumps are also shown as an important component of the default correlation. |
| Keyword | credit risk |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Type | texts |
| Legacy record ID | usctheses-m780 |
| Rights | Mashayekh Ahangarani, Pouyan |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-MashayekhAhangarani-20070808 |
| Archival file | uscthesesreloadpub_Volume51/etd-MashayekhAhangarani-20070808.pdf |
Description
| Title | Page 1 |
| Full text | ESSAYS IN FALLOUT RISK AND CORPORATE CREDIT RISK by Pouyan Mashayekh Ahangarani A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In partial Fulfillment of the Requirements for the Degree DOCTOR OF PHILOSPHY (ECONOMICS) August 2007 Copyright 2007 Pouyan Mashayekh Ahangarani |
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