Market Value Signal Extraction and the Misapplication of SFAS 133 in the U.S. GSE's
Tài liệu tham khảo
Green, 2005, “The American Mortgage in Historical and International Context”, The Journal of Economic Perspectives, 19, 93, 10.1257/089533005775196660
Archer, 2001, “Prepayment Risk and Lower Income Borrowers”, Joint Center for Housing Studies, 1
Bhardwajy, Geetesh, and Rajdeep Sengupta (2008), “Did Prepayments Sustain the Subprime Market?”, Research Division, Federal Reserve Bank of St. Louis Working Paper 2008-039A, 1-44.
Campbell, 1997
Committee on Capital Markets Regulation (2009), The Global Financial Crisis: A Plan for Regulatory Reform.
DeLiban, 1995, “Understanding and Valuing Mortgage Security Credit”, 449
Dillon, 1984
Dynan, 2009, “Changing Household Financial Opportunities and Economic Security”, Journal of Economic Perspectives, 23, 49, 10.1257/jep.23.4.49
Fabozzi, 1992
Falcon, Armando (2010), “Testimony Submitted to the Financial Crisis Inquiry Commission, April 9, 2010”, 2-11.
Federal Home Loan Bank of Chicago (2004), Annual Report, 2004.
Federal Home Loan Bank of Chicago (2005), Financial Statements and Notes for the Quarter Ended March 31, 2005.
Federal Home Loan Banks (2004), “Delay in Publication of the FHLBanks Third Quarter Combined Financial Report: Eleven FHLBanks Expected to Post Third Quarter Results Today”, Office of Finance.
Federal Home Loan Banks, 2008
Federal Housing Finance Agency (2008), Report to Congress.
Feldhaus, David (2005), “News Release, March 2005”, Chicago Federal Home Loan Bank.
Frame, 2004, “Thoughts on Institutional Structure and Authorities”, Federal Reserve Bank of Atlanta Economics Review, 87
Gangwani, 1998, “MBS Structuring: Concepts and Techniques”, The Securitization Conduit, 26
Gerardi, 2008, “Making Sense of the Subprime Crisis”, Brookings Papers on Economic Activity, 1
Golub, 1997, “Measuring Yield Curve Risk Using Principal Component Analysis, Value at Risk, and Key Rate Durations”, Journal of Portfolio Management, 72, 10.3905/jpm.1997.409612
Hentschel, 2001, “Are Corporations Reducing or Taking Risks with Derivatives?”, The Journal of Financial and Quantitative Analysis, 36, 93, 10.2307/2676199
Hosmer, 1989
Hull, 2000
Levine, 1990, “Regulatory Capture, Public Interest, and the Public Agenda: Toward a Synthesis”, Journal of Law, Economics, and Organization, 167, 10.1093/jleo/6.special_issue.167
Lockhart, James B. (2010), “Testimony of James B. Lockhart, Financial Crisis Inquiry Commission, April 9, 2010”, 2-11.
McCool, 2000, “Government-Sponsored Enterprises, Creating a Single Housing GSE Regulator”, United States General Accounting Office, 1
Office of Regulatory Activities, 1989, “Thrift Bulletin 13, Responsibilities of the Board of Directors and Management with Regard to Interest Rate Risk”, Federal Home Loan Bank System, 1
Office of Thrift Supervision, 1998, “Thrift Bulletin 13a, Management of Interest Rate Risk, Investment Securities, and Derivative Activities”, Department of the Treasury, 1
Pennington-Cross Anthony, 2002, “Patterns of Default and Prepayment for Prime and Nonprime Mortgages”, OFHEO Working Papers, 1
Pollock, 2006, “FASB Fesses Up to Derivatives Disaster”, American Banker
Report of Survey Results, 2002, “The Impact of FAS 133 on the Risk Management Practices of End Users of Derivatives”, Association for Financial Professionals
Schwartz, 1992, “Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities”, The Journal of Business, 65, 221, 10.1086/296566
Sharpe, 1963, “A Simplified Model for Portfolio Analysis”, Management Science, 9, 277, 10.1287/mnsc.9.2.277
Sharpe, 1964, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19, 425
Strauss, 1997, “The Danger in Focusing on Market Value”, US Banker
Taff, 2003
Taleb, 2007
Tuckman, 2002
United States District Court, District of Columbia (2006), Securities and Exchange Commission versus Federal National Mortgage Association.