Housing is the most important asset owned by the majority of Australian households. It is a large component of household wealth and serves a unique, dual role as an investment vehicle and a durable good from which consumption services are derived. With most mortgages and many small business loans secured against residential dwellings in Australia, housing also forms an important part of the col...

This paper analyses effects of an interest rate freeze in subprime mortgages on residential mortgage backed securities (RMBS). In particular, we study shifts in the underlying portfolio’s discounted cashflow distributions as well as changes in the payment profile of RMBS-tranches. We show that the positive effects of a rate freeze, e.g. less foreclosures and a stabilizing housing market, can ou...

although default rates on residential mortgages have been relatively low in recent years, policymakers and economists should still be concerned about mortgage default for several reasons. First, while the foreclosure rate in the u.s. has averaged only 1 percent over the past 20 years, there have been dramatic swings in regional default rates over this period. For example, in the early 1990s for...

This large allocation clearly indicates that sponsors should carefully scrutinize the risk and monitor the returns of their bond positions. Unfortunately, bond portfolios are not as simple to analyze as they once were since managers no longer restrict themselves to holdings in government, agency and high grade corporate issues. Mortgages now comprise approximately 25% of the market and so are c...

Business Process Reengineering (BPR) is an important instrument to boost the performance of business processes. In this paper, the Product-Based Design (PBD) method is presented that is especially suitable to reengineer processes that support information-intensive products such as bonds, mortgages, and loans. Aside from the treatment of its theoretical properties and the differences with prevai...