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Jinhe Center Fall 2018 Weekly seminar #4
Source:   Date: 2018-09-28   Visits:

 

Securitizing the Delay Risk of Mortgage Receivables:

A Financial Innovation in China’s Real Estate Market

 

TimeOct 9th (Tuesday) 16:15-17:45 PM

LocationJinhe 874

SpeakerDr. MA Chao

 

Introduction

Dr. Ma joined the Wang Yanan Institute for Studies in Economics & School of Economics at Xiamen University as an Assistant Professor after completing his Ph.D. study at the Ohio State University in 2015.  Dr. Ma’s areas of specialization for research include Empirical Industrial Organization, Real Estate, Finance, Applied Microeconomics, Applied Econometrics (Dynamic Choice), and Quantitative Marketing. Dr. Ma has published in Journal of Real Estate Finance and Economics, and won the 2013 G.S. Maddala Prize in Econometrics.

Abstract

Unlike default risks, delay risks are associated with entitled future payments without clearly specified due dates. We study mortgage-receivable-backed securities (MRBS), a recent financial innovation in China that transfers the delay risk of mortgage receivables from real estate developers to security investors. Using unique data from a top-ten national developer, we estimate a Cox proportional hazard model. We find that the delays are affected by bank characteristics (e.g., liquidity, lending caution, profitability, and funding structure), household characteristics (e.g., credit worthiness), and local market conditions (e.g., concentration). Using the estimates, we conduct Monte Carlo simulations and risk analyses for MRBS tranches.

 

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