On the dihedral Euler characteristics of Selmer groups of abelian varieties

This note shows how to use the framework of Euler characteristic formulae to study Selmer groups of abelian varieties in certain dihedral or anticyclotomic extensions of CM fields via Iwasawa main conjectures, and in particular how to verify the p-part of the refined Birch and Swinnerton-Dyer conjecture in this setting. When the Selmer group is cotorsion with respect to the associated Iwasawa algebra, we obtain the p-part of formula predicted by the refined Birch and Swinnerton-Dyer conjecture. When the Selmer group is not cotorsion with respect to the associated Iwasawa algebra, we give a conjectural description of the Euler characteristic of the cotorsion submodule, and explain how to deduce inequalities from the associated main conjecture divisibilities of Perrin-Riou and Howard.Comment: 26 pages. Previous discussion of two-variable setting removed, and discussion of the indefinite setting modified accordingly. To appear in the HIM "Arithmetic and Geometry" conference proceeding

Securitization and community lending: a framework and some lessons from the experience in the U.S. mortgage market

The purpose of this article is to provide a framework for analyzing the development of securitization as a vehicle for funding community economic development (CED) loans. Broadly speaking, there are two models for funding assets: the portfolio lender model, which typically involves banks or other intermediaries originating and holding the loans and funding them mainly with debt, most often deposits, and the securitization model, which involves tapping bond markets for funds, for instance, by pooling loans and selling shares in the pools. The focus here is on broad issues of when securitization is likely to be the more economic form of funding, some specifics of how the funding might be structured, and an analysis of the experience in the U.S. mortgage market.Mortgage loans ; Asset-backed financing

Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital

The securitization of fixed-rate mortgages suggests that the FRA/VA market was fully integrated with capital markets by the early l98Os and that the conventional market moved toward integration during the l98Os. Assuming full integration of FHA/VA5 via the GNMA securitization process, we first estimate equations explaining near-par GNMA prices weekly for the 1981-88 period. The price is then set equal to the new-issue price and, based upon the preferred equation, the perfect-market retail coupon rate is computed. Next we estimate equations (for three year segments of the 1971-88 period) explaining conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we examine differences between the perfect-market and actual coupon rates and compute the impact of these differences on residential capital accumulation.

Comparing mortgage credit risk policies : an options-based approach

Buckley, Karaguishiyeva,Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors'basic approach is to show how option pricing models can help measure and evaluate the risks of various schemes. They find that mortgage default insurance can be a cost-effective tool for both improving housing affordability and efficiently addressing some of the rationing that characterizes this market. When correctly structured, as it is in a number of transition and market countries, this kind of program can be expected to reduce nonprice rationing at an actuarially fair price. At the same time, considerable care must be exercised in the development of such instruments. Geographical risk diversification, particularly across borders, can play a major role in the success of these programs. Such diversification could be important not only in smaller transition economies but in EU countries as well.Insurance&Risk Mitigation,Banks&Banking Reform,Environmental Economics&Policies,Payment Systems&Infrastructure,Labor Policies,Banks&Banking Reform,Insurance&Risk Mitigation,Housing Finance,Environmental Economics&Policies,Health Economics&Finance

Pricing Mortgages: An Interpretation of the Models and Results

Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back the mortgage at par, and default, which is a put option giving the borrower the right to sell the house in exchange for the mortgage. This paper reviews and interprets the large and growing body of literature that applies recent results of option pricing models to mortgages. We also provide a critique of the models and suggest directions for future research.

On Degrees in the Hasse Diagram of the Strong Bruhat Order

For a permutation $\pi$ in the symmetric group $S_n$ let the {\it total degree} be its valency in the Hasse diagram of the strong Bruhat order on $S_n$, and let the {\it down degree} be the number of permutations which are covered by $\pi$ in the strong Bruhat order. The maxima of the total degree and the down degree and their values at a random permutation are computed. Proofs involve variants of a classical theorem of Tur\'an from extremal graph theory.Comment: 14 pages, minor corrections; to appear in S\'em. Lothar. Combi