Treatment and forecasting of prepayment risk within the IRRBB framework: an empirical study of the Italian and American mortgage market
Fabiani, Giorgia (A.A. 2020/2021) Treatment and forecasting of prepayment risk within the IRRBB framework: an empirical study of the Italian and American mortgage market. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 112. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Interest rate risk in the banking book: definitions and implications. Definitions and types of IRRBB. The earning-based measurement of IRRBB. The measurement of IRRBB trough economic value based approaches. Governance of IRRBB. Techniques for interest rate risk measurement and management. The gap models. Duration gap model. Bank of Italy’s approach to measurement of IRRBB. Option risk and instruments not amenable to standardisation. Capital allocation. Stress testing. CSRBB. Interest rate risk in the euro area. Prepayment risk forecasting: what drivers should banks examine? Prepayment risk: definition and implication on banks’ performances. Prepayment modelling and forecasting: what path should banks follow? Proportional hazard model. Binary choice models. Literature review: prepayment risk and its driving factors. American mortgage market and European mortgage market: main differences and their effects. Prepayment risk in US and Europe: what are the main differences? The Italian residential mortgage market: some data to understand its trends. The US mortgage industry and its effects on the economy in recent years. US mortgage industry today: what happened after the big crisis? Empirical analysis of the drivers responsible of prepayments. A comparison with the American mortgage market.
References
Bibliografia: pp. 99-102.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Risk management |
| Thesis Supervisor: | Penza, Daniele |
| Thesis Co-Supervisor: | Pallini, Alfredo |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 31 May 2022 14:38 |
| Last Modified: | 31 May 2022 14:38 |
| URI: | https://tesi.luiss.it/id/eprint/32570 |
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