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APRIL 2007 |
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Presented at Dean’s Seminar April 13, 2007
“Relativeness in Credit Ratings and Regulatory Capital Reserves” |
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Puneet Prakash, assistant professor
Department of Finance, Insurance, and Real Estate
Virginia Commonwealth University
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ABSTRACT: "In this paper I employ a simulation based methodology to examine the effects of relative credit ratings on the regulatory credit capital set as per the standard approach under Basel-II framework. The purpose of the study is to estimate the expected changes in regulatory capital reserves using a methodology which endogenizes the relative nature of the credit ratings. Using a portfolio of two firms with different letter ratings, I calculate the probability of change in risk weights owing to the fact that ratings are relative. The methodology provides a measure to both regulators and banks of the impact on expected changes in minimum required capital owing to relativeness of credit ratings. Evidence suggests that the closer a firm is to a rating boundary, the higher is the change in expected reserve. "
The paper is available at http://www.people.vcu.edu/~aslee/Prakash-seminar-13April2007.pdf.
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Presented at Dean’s Seminar April 27, 2007
“The Influence of Affordability on Construction Quality: Evidence from Housing Market Depreciation Schedules” |
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Brent C. Smith, Assistant Professor
Department of Finance, Insurance and Real Estate
Virginia Commonwealth University |
ABSTRACT: The research presented in this proposal tests the hypothesis that depreciation of single family structures is a function of the purchasing power of the market at the time the property is constructed. By modeling age as a function of the vintage, the analysis connects the economic conditions at the time of construction to hedonic models of the sales price adjusted for the value of the land. The connection between affordability and depreciation is made by housing developers as they adjust the quality and inputs to the housing product in response to changes in the market. The results indicate that the relationship between age and depreciation of improvements is conditioned on economic conditions of the market as developers respond to market adjustments in the product they provide.
For other information about Dr. Smith read http://www.pubinfo.vcu.edu/busweb/2002/directory_details.asp?UserID=156 |
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