China＇s central bank cut interest rates for deposits and loans and adjusted their floating ranges on June 8.Yi Xianrong,a research fellow with the Institute of Finance and Bankingunder the Chinese Academy of Social S...China＇s central bank cut interest rates for deposits and loans and adjusted their floating ranges on June 8.Yi Xianrong,a research fellow with the Institute of Finance and Bankingunder the Chinese Academy of Social Sciences, shared his views on the impact of the cut with Shanghai Securities News. Edited excerpts follow：展开更多
Home mortgage loan lending firms are exposed to many business risks.This paper focuses on the mortgage loan borrower risks and proposes a prospective loss analysis approach in regard to loan repayment defaults of borr...Home mortgage loan lending firms are exposed to many business risks.This paper focuses on the mortgage loan borrower risks and proposes a prospective loss analysis approach in regard to loan repayment defaults of borrowers.For this purpose,a predictive modeling is presented in three stages.In the first stage,occurrence of borrower defaults in a mortgage loans portfolio is modeled through the generalized linear models(GLMs)type regressions for which we specify a logistic distribution for default events.The second stage of modeling develops a survival analysis in order to estimate survival probability and hazard rate functions for individual loans.Ultimately,an expectable loss amount model is presented in the third stage as a function of conditional survival probabilities and corresponding hazard rates at loan levels.Throughout all modeling stages,a large and real data set is used as an empirical analysis case by which detailed interpretations and practical implications of the obtained results are stated.展开更多
This paper develops a model where two lenders to subprime borrowers compete with the interest rates charged and the severity of loan covenants. The model has a stable equilibrium, which demonstrates how an increase in...This paper develops a model where two lenders to subprime borrowers compete with the interest rates charged and the severity of loan covenants. The model has a stable equilibrium, which demonstrates how an increase in the number of borrowers or an increase in the cost of meeting covenants will reduce the severity of the covenants required by lenders, and each of these changes will increase the difference in the severity of the loan covenant levels. An increase in the expected losses to the lender from relaxing covenants will increase the severity of loan covenants, and this will also make the levels of severity more dispersed. Additional analysis demonstrates how exogenous shifts affect the interest rates charged by the lenders and their profits展开更多
This study is motivated by the lack of direct empirical research on the relationship between intangible assets （IA） and loan interest rates for small- and medium-sized enterprises （SMEs） in emerging markets. This ...This study is motivated by the lack of direct empirical research on the relationship between intangible assets （IA） and loan interest rates for small- and medium-sized enterprises （SMEs） in emerging markets. This study uses a multivariate regression to investigate the effects of 1A on loan interest rates by focusing on SMEs. Using a panel sample of 186 publicly-listed SMEs with 952 annual observations in Taiwan from 2001 to 2006, the empirical findings indicate that an SME＇s IA does negatively affect loan interest rates. The main contribution of this study lies in its direct testing of whether IA can affect the loan interest rates for SMEs in an emerging market. The finding provides empirical evidence that an SME with greater IA leads to lower interest rates on bank loans, implying that SMEs should strive to invest in IA and enhance their knowledge management for obtaining more benefits of loan interest rates. Furthermore, the findings may provide empirical evidence for SMEs in emerging markets and can be compared with those for firms in industrialized economies.展开更多
The purpose of this paper is to examine the time series properties of Australian residential mortgage interest rates, and in doing so, establish whether or not selected home loan rates （product-level monthly home loa...The purpose of this paper is to examine the time series properties of Australian residential mortgage interest rates, and in doing so, establish whether or not selected home loan rates （product-level monthly home loan interest rates for CBA） exhibit the expected cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. In particular, due to a well established presence of cyclicality in financial markets＇ interest rates and strong correlation between financial markets＇ interest rates and home loan interest rates, the paper presumes that cyclicality is also to be found in home loan interest rates. Furthermore, the paper tests the hypothesis that home loan interest rates, for selected products, exhibit the three identified （＂Spring＂, ＂Autumn＂ and ＂The end of the Financial Year＂） season-related interest rate reductions. The paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, Commonwealth Bank of Australia （CBA）. As expected, the results overall confirm the existence of cyclicality in home loan interest rates. With respect to the seasonality of home loan interest rate, although most of the analysed variables show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.展开更多
文摘China＇s central bank cut interest rates for deposits and loans and adjusted their floating ranges on June 8.Yi Xianrong,a research fellow with the Institute of Finance and Bankingunder the Chinese Academy of Social Sciences, shared his views on the impact of the cut with Shanghai Securities News. Edited excerpts follow：
文摘Home mortgage loan lending firms are exposed to many business risks.This paper focuses on the mortgage loan borrower risks and proposes a prospective loss analysis approach in regard to loan repayment defaults of borrowers.For this purpose,a predictive modeling is presented in three stages.In the first stage,occurrence of borrower defaults in a mortgage loans portfolio is modeled through the generalized linear models(GLMs)type regressions for which we specify a logistic distribution for default events.The second stage of modeling develops a survival analysis in order to estimate survival probability and hazard rate functions for individual loans.Ultimately,an expectable loss amount model is presented in the third stage as a function of conditional survival probabilities and corresponding hazard rates at loan levels.Throughout all modeling stages,a large and real data set is used as an empirical analysis case by which detailed interpretations and practical implications of the obtained results are stated.
文摘This paper develops a model where two lenders to subprime borrowers compete with the interest rates charged and the severity of loan covenants. The model has a stable equilibrium, which demonstrates how an increase in the number of borrowers or an increase in the cost of meeting covenants will reduce the severity of the covenants required by lenders, and each of these changes will increase the difference in the severity of the loan covenant levels. An increase in the expected losses to the lender from relaxing covenants will increase the severity of loan covenants, and this will also make the levels of severity more dispersed. Additional analysis demonstrates how exogenous shifts affect the interest rates charged by the lenders and their profits
文摘This study is motivated by the lack of direct empirical research on the relationship between intangible assets （IA） and loan interest rates for small- and medium-sized enterprises （SMEs） in emerging markets. This study uses a multivariate regression to investigate the effects of 1A on loan interest rates by focusing on SMEs. Using a panel sample of 186 publicly-listed SMEs with 952 annual observations in Taiwan from 2001 to 2006, the empirical findings indicate that an SME＇s IA does negatively affect loan interest rates. The main contribution of this study lies in its direct testing of whether IA can affect the loan interest rates for SMEs in an emerging market. The finding provides empirical evidence that an SME with greater IA leads to lower interest rates on bank loans, implying that SMEs should strive to invest in IA and enhance their knowledge management for obtaining more benefits of loan interest rates. Furthermore, the findings may provide empirical evidence for SMEs in emerging markets and can be compared with those for firms in industrialized economies.
文摘The purpose of this paper is to examine the time series properties of Australian residential mortgage interest rates, and in doing so, establish whether or not selected home loan rates （product-level monthly home loan interest rates for CBA） exhibit the expected cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. In particular, due to a well established presence of cyclicality in financial markets＇ interest rates and strong correlation between financial markets＇ interest rates and home loan interest rates, the paper presumes that cyclicality is also to be found in home loan interest rates. Furthermore, the paper tests the hypothesis that home loan interest rates, for selected products, exhibit the three identified （＂Spring＂, ＂Autumn＂ and ＂The end of the Financial Year＂） season-related interest rate reductions. The paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, Commonwealth Bank of Australia （CBA）. As expected, the results overall confirm the existence of cyclicality in home loan interest rates. With respect to the seasonality of home loan interest rate, although most of the analysed variables show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.
