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This book provides a practical analysis of the typical investments and funding sources of depository institutions. With a particular emphasis on mortgage-related investments (ARMs, CMOs, IOs, and POs), state-of-the-art valuation models are included that incorporate both call and default risk. Equity funding issues are also analyzed in detail. In addition, the author summarizes the history of the depository institution crisis, discusses the future outlook, and suggests a creative solution to the deposit insurance crisis that permits government deposit insurance without risk or cost to taxpayers.
After proposing a system of private deposit insurance backed by minimal market-to-market collateral requirements, the author focuses on micro topics. In particular, the book includes a comprehensive evaluation of default risk data, precise equations for valuing complex mortgage securities, a theoretical model for making hedging and capital adequacy decisions (including an econometric model for estimating the return on the market portfolio and market risk premiums), and a practical discounted cash flow valuation model for analyzing depository institution stock (that incorporates financial statement items and footnotes as well as mortgage prepayments and the term structure of interest rates). The work represents an excellent handbook for financial institution executives, consultants, regulators, investors, and students.
Table des matières
Introduction to the Balance Sheet Problems of Depository Institutions
An Innovative Solution to the Deposit Insurance Crisis: FIDOE
Analysis of the Default Risk of Assets Held by Depository Institutions
Analysis of the Interest Rate Risk of Complex Assets Held by Depository Institutions
Hedging Depository Institution Balance Sheet Risk
An Analysis of the Capacity of Depository Institutions to Raise Equity Capital
Conclusion
A propos de l'auteur
AUSTIN MURPHY is Professor Finance at Oakland University in Michigan.
