Financial institutions are increasingly measuring and managing
the risk from credit exposures at the portfolio level,
in addition to the transaction level. This change in perspective
has occurred for a number of reasons. First is the
recognition that the traditional binary classification of
credits into “good” credits and “bad” credits is not sufficient—
a precondition for managing credit risk at the portfolio
level is the recognition that all credits can potentially
become “bad” over time given a particular economic scenario.
Before discussing our methodology, we motivate our study with a table illustrating bank
adaptation and soft credit at work. The data are from a large Greek bank, covering tens
of thousands applications by individuals for credit products.
4 Columns 1 and 2 show the
monthly declared income and monthly payments on household credit products for self-employed
individuals across di§erent industries, and column 3 presents the ratio of payments-to-income.
On average, self-employed Greeks spend 82% of their monthly reported income servicing debt.
According to Adam Smith, money originated in man’s rational effort to meet the necessity of finding some medium of exchange. Money is responsible for increasing the production and thus adds to the creation of wealth and also in accelerating consumption with the concomitant rise in the standard of living of the people.
There is a choice of books on securitization, collateralized debt obligations
(CDOs), and structured credit products. In fact, both of
us have written other books on the subject. This book, however, was
conceived as a short, handy and easy-to-comprehend guide to securitization,
minus technical details. The idea originated while both of
us were working on a comprehensive article on securitization: One
which says it all in a limited space and serves as a curtain-raiser
on the subject.
I thank everyone who provided expert advice on technical matters
and everyone who offered comments on the papers, book reviews,
talks, interviews, and draft manuscript that eventually turned into
this book. I have benefited enormously from their feedback. It not
only improved the book significantly but guided the direction of my
research in crucial ways. I would like to thank each one by name,
but unfortunately I cannot. Even were they not too numerous to list,
they include many audience members and reviewers whose names I
do not know.
The material for thle volume hae been gathered from many sources and we want to thank Che dealers and orlglnacors whose Items appear in this book. All effects and manuscripts remain the property of the contributors, originators and dealers who reserve all commercial rights to their lcems. We have made no attempt to run down credits other than those which accompanied the original manuscripts. Special thanks must go to Louis Tannen, Inc., Nelson Enterprises, Regw's House of Enchantment and Magictrix House of Magic for their contributions to this volume.
Globalization is the process of coming together as a closely
connected global community. It began thousands of years
ago, when tribal groups and small hunting parties wandered from
place to place. The process accelerated following Columbus’s epic
voyage more than five centuries ago. Europeans—an estimated
50 million of them—spread out to occupy lands throughout the
world. This migration transformed the distribution of the world’s
peoples and their cultures forever. In the United States and Can-
ada, for example, most people speak a West European language.
The ﬁrst time a money market fund broke the buck was in 1994,
when the Denver-based Community Banker’s U.S. GovernmentMoney
Market Fund reported aNAVof $0.96. It had themisfortune of owning
securities that fell sharply in value during the rapid rise in interest rates
that year. Because this was a small fund held by a small number of
institutional shareholders, the impact was limited.
It wasn’t until the credit crisis of 2008 hit that a fund broke the
buck in a dramatic way. This was the Reserve Primary Fund—the ﬁrst
money market fund in the United States.
We approximate credit risk developments at the bank level by considering non-
performing loans of each institution and rating changes at the individual security level.
Importantly, our database allows us to identify not only the rating of these securities at the time
of origination but also their evolution over time. We also analyze to what extent housing prices,
securitization activity and lending may have asymmetric effects across institutions and
geographically (at the regional level) by identifying the role of each of these factors.
Form DQA (Design Quality Audit Checklist) is used to perform, record, and certify the audit. A
non-conformance with the quality process results in the documents being returned to the
Originator to bring the package into compliance. If the audit finds all documents in conformance,
the DQAM completes and signs Form DQA to document and certify that the QMP requirements
have been followed.
At the appropriate time, the DQAM also uses Form DQA to certify that the design package is
approved for RFC (Refer to section 4.7 RFC Procedure).
It appears that the 1998 totals are somewhat lower due to the benign credit cycle in the U.S. for
the past five years (1993-1997), when default rates on public high yield bonds averaged less than
2% each year (Exhibit 2, Altman & Kishore, 1998). The supply of public, domestic defaulted
bonds was about $10 billion as of mid-1998 and our best estimate of distressed public debt is
about $13 billion. At the same time, we have noticed an increase in distressed securities in 1998.
The resulting total of defaulted and distressed, public bonds and private debt as of end of August
We approximate credit risk developments at the bank level by considering non-performing loans of each
institution and rating changes at the individual security level. Importantly, our database allows us to
identify not only the rating of these securities at the time of origination but also over time. We also
analyze to what extent housing prices, securitization activity and lending may have asymmetric effects
across institutions and geographically (at the regional level) by identifying the role of each one of these
This handbook is organized around the seven-step process for guiding public health
communicators in planning and implementing effective media communication shown in
FIGURE ONE. Its primary focus is on relations with the news media (both print and broadcast)
during a public health emergency – “media communication” can be taken to mean “news
media communication”. Many cultures, however, rely on folk and traditional
means of mass
communication which typically originate from the beliefs, culture and customs of a specific
Stock-taking occurred in different forms: through the presentation of the World Bank’s and
of the Inter-American Development Bank’s studies on social funds, as well as through many
individual interventions by social funds’ managers during the plenary sessions and in working
groups. Ten original papers were also presented by relevant practitioners on specific topics
related to social funds’ design, management, and implementation. These papers provide an
overview of current design and implementation challenges and concerns facing social funds.
This consensus on the achievements and weaknesses of social funds was based, among other
things, on the differences between social funds that are created and operate within an emer-
gency context and those that are governed by developmental objectives. Regional and cultural
contexts also account for the diverse challenges, constraints, and opportunities that each pro-
gram faces. Recognition of diversity was assumed as the basis for the collective agreement on
The format of the global consultation process at the workshop did not call for the development
of recommendations to be formally endorsed by the participants before the end of the event. Rather,
the conclusions and recommendations of the working groups and of the plenary sessions were
summarized by the session leaders and by the chairpersons, based on the consensus obtained.
After origination, changes in market interest
rates and in the credit quality of the issuing
entity, as well as the passage of time, typically
change the market value of the credit swap. For
a given credit swap with stated annuity rate U,
one must then determine the current market
value, which is not generally zero.
When making markets, the first pricing problem
is the more critical. When hedging or marking
to market, the second problem is relevant. Methods
for solving the two problems are similar.
It would be a great mistake however to suppose that systematiza-
tion of the subject constituted the only, or indeed the chief, merit of
this work. So many of the propositions which it first introduced have
now found their way into the common currency ofmodern monetary
theory that the English reader, coming to it for the first time more
than twenty years after its first pul::Hication, may be inclined to
overlook its merits as an original contribution to knowledge - a
contribution from which much ofwhat is most important and vital in
contemporary discussions takes its rise.
It is University policy that expenses be charged directly to the account to which they
pertain. It is recognized, however, that expenditure adjustments are occasionally
necessary to correct bookkeeping or clerical errors in the original charges. It is also
recognized that closely related work may be supported by more than one funding
source and that in such cases an expenditure adjustment of costs from one funding
source to another may be proper. This section details the conditions under which
expenditure adjustments are appropriate. This section covers authority...
The term “basic research payment” means any amount paid in cash during the taxable year by a corporation (other
than S corporations, personal holding companies, and service organizations) to a qualified organization for basic
research, but only if such payment is made pursuant to a written agreement and the basic research is to
be performed by the qualified organization in California. Qualified organizations include educational institutions,
certain scientific research organizations, and certain grant organizations.