Mortgage Backed Securities Thesis

The second chapter of my dissertation studies the CMBS credit rating market using a strategic interaction model.

Mortgage Backed Securities Thesis

My first chapter is an empirical study on potential misrepresentation of CMBS.This overstatement lead to Loan-to-Value ratio and Debt-Service Coverage Ratio being misreported as 67.1% from 84.2% and DSCR as 1.72 from 1.59.The levels of aggregate over-estimation substantially differed among originators and the variations explained the performance differences between originators.As a longitudinal extension to this valuation model, we also investigate the price dynamics of securitised debt.A multi-factor GARCH process is applied as an econometric specification of the heteroskedasticity of secondary market spreads of selected types of ABS transactions for valuation and forecasting purposes.The dissertation presents a comprehensive examination of the risk modelling, asset selection, optimal security design and competitive market pricing of asset-backed securities.We first provide an overview of the main characteristics of asset securitisation and explain its attendant benefits and drawbacks, especially as they pertain to the refinancing of illiquid asset exposures, such as SME-related payment obligations.Overall our synthesis of empirical and theoretical approaches yields instructive findings about important yet unexplored issues concerning the economic rationale of asset securitisation.Structured finance products including Commercial Mortgage-Backed Security (CMBS) suffered tremendous losses during the 2008 financial crisis.We did, however, read his acknowledgments, where Lewis praises “A. Barnett-Hart, a Harvard undergraduate who had just written a thesis about the market for subprime mortgage-backed CDOs that remains more interesting than any single piece of Wall Street research on the subject.” While unsure if we can stomach yet another book on the crisis, a killer thesis on the topic? We tracked down Barnett-Hart, a 24-year-old financial analyst at a large New York investment bank.She met us for coffee last week to discuss her thesis, “The Story of the CDO Market Meltdown: An Empirical Analysis.” Handed in a year ago this week at the depths of the market collapse, the paper was awarded summa cum laude and won virtually every thesis honor, including the Harvard Hoopes Prize for outstanding scholarly work.


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