The valuation of collateralised debt obligations: multi-period modelling in a risk-neutral framework

For over fifty years, mortgages have been securitised by selling the rights to the mortgage cash flows to third party investors. Over the past ten years or so, a similar securitisation process has been undertaken with corporate debt. The claims on the cash flowing from the corporate debt portfolio are called collateralised debt obligations (CDO). CDO cash flows are dependent on the interaction of a portfolio of debt securities over many time periods. They are particularly sensitive to the correlation among the underlying secunties and to the terms of the indenture. While much progress has been made in modelling debt portfolios over a single period, there has been a lot less published about the interaction of debt secunties m a portfolio over many penods. This thesis develops a model for valuing CDOs using a nsk-neutral approach in a multiperiod setting. A model is also developed which reproduces Moody’s CDO rating. The Moody’s rating is compared to that which is implied from applying the nsk-neutral model, the differences analysed and the implications for regulatory capital for CDOs explored

Restructuring and Recovery of the Irish Financial Sector: An Economic Case History

During the years 2003 to 2008, the Irish domestic financial sector experienced a very fast and poorly controlled expansion, followed by a dramatic collapse. The causes of the Irish credit bubble and bust have been exhaustively examined; see for example Connor et al. (2012), Honohan (2010), Nyberg (2011), Regling and Watson (2010) and additional references therein. Over the next six years, from late 2008 to 2014, the Irish financial sector went through a painful restructuring and slow, modestly successful, recovery. This paper provides an economic analysis of the Irish financial sector’s restructuring and recovery period. The paper considers both domestic and foreign banks operating in Ireland, household and corporate debt, property and other asset markets, and business investment. We analyse what the Irish experience tells us about the economic theory of post-crisis financial sector restructuring and recovery strategies

Restructuring and Recovery of the Irish Financial Sector: An Economic Case History

During the years 2003 to 2008, the Irish domestic financial sector experienced a very fast and poorly controlled expansion, followed by a dramatic collapse. The causes of the Irish credit bubble and bust have been exhaustively examined; see for example Connor et al. (2012), Honohan (2010), Nyberg (2011), Regling and Watson (2010) and additional references therein. Over the next six years, from late 2008 to 2014, the Irish financial sector went through a painful restructuring and slow, modestly successful, recovery. This paper provides an economic analysis of the Irish financial sector’s restructuring and recovery period. The paper considers both domestic and foreign banks operating in Ireland, household and corporate debt, property and other asset markets, and business investment. We analyse what the Irish experience tells us about the economic theory of post-crisis financial sector restructuring and recovery strategies

The U.S. and Irish Credit Crises: Their distinctive Differences and Common Features

Although the US credit crisis precipitated it, the Irish credit crisis is an identifiably separate one, which might have occurred in the absence of the U.S. crash. The distinctive differences between them are notable. Almost all the apparent causal factors of the U.S. crisis are missing in the Irish case; and the same applies vice-versa. At a deeper level, we identify four common features of the two credit crises: capital bonanzas, irrational exuberance, regulatory imprudence, and moral hazard. The particular manifestations of these four “deep” common features are quite different in the two cases

Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2

During the years 2003 to 2008, the Irish domestic financial sector experienced a very fast and poorly controlled expansion, followed by a dramatic collapse. The causes of the Irish credit bubble and bust have been exhaustively examined; see for example Connor et al. (2012), Honohan (2010), Nyberg (2011), Regling and Watson (2010) and additional references therein. Over the next six years, from late 2008 to 2014, the Irish financial sector went through a painful restructuring and slow, modestly successful, recovery. This paper provides an economic analysis of the Irish financial sector’s restructuring and recovery period. The paper considers both domestic and foreign banks operating in Ireland, household and corporate debt, property and other asset markets, and business investment. We analyse what the Irish experience tells us about the economic theory of post-crisis financial sector restructuring and recovery strategies

Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2

During the years 2003 to 2008, the Irish domestic financial sector experienced a very fast and poorly controlled expansion, followed by a dramatic collapse. The causes of the Irish credit bubble and bust have been exhaustively examined; see for example Connor et al. (2012), Honohan (2010), Nyberg (2011), Regling and Watson (2010) and additional references therein. Over the next six years, from late 2008 to 2014, the Irish financial sector went through a painful restructuring and slow, modestly successful, recovery. This paper provides an economic analysis of the Irish financial sector’s restructuring and recovery period. The paper considers both domestic and foreign banks operating in Ireland, household and corporate debt, property and other asset markets, and business investment. We analyse what the Irish experience tells us about the economic theory of post-crisis financial sector restructuring and recovery strategies

Improving Medication Adherence for Chronic Disease Using Integrated e-Technologies

Diabetes mellitus (DM) is a chronic disease affecting more than 285 people worldwide and the fourth leading cause of death. Increasing evidence suggests that many DM patients have poor adherence with prescribed medication therapies, impacting clinical outcomes. Patients' barriers to medication adherence and the extent to which barriers contribute to poor outcomes, however, are not routinely assessed. We designed a dashboard for an electronic health record system to integrate DM disease and medication data, including patient-reported barriers to adherence. Processes to support routine capture of data from patients are also being explored. The dashboard is being evaluated at multiple ambulatory clinics to examine whether integrated electronic tools can support patient-centered decision-making processes involving complex medication regimens for DM and other chronic diseases

A Coasean Approach to Bank Resolution Policy in the Eurozone

The Eurozone needs a bank resolution regime that can work across seventeen independent nations of diverse sizes with varying levels of financial development, limited fiscal coresponsibility, and with systemic instability induced by quick and low-cost deposit transfers across borders. We advocate a Coasean approach to bank resolution policy in the Eurozone, which emphasises clear and consistent contracts and makes explicit the public ownership of the externality costs of bank distress. A variety of resolution mechanisms are compared including bank debt holder bail-in, prompt corrective action, and contingent convertible bonds. We argue that the “dilute-in” of bank debt holders via contingent convertibility provides a clearer and simpler Coasean bargain for the Eurozone than the more conventional alternatives of debt holder bail-in or prompt corrective action