We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …

misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …

This study analyses the level of systematic risk for US mortgage portfolio securitisationsbased on the variation of …

predict the early redemption of Term Asset-Backed Securities Loan Facility (TALF) loans used to purchase commercial mortgage …

Hedging bond portfolios using futures is often utilized in developed countries where the bond market is liquid and … futures are considered quick and inexpensive way of eliminating risk. The EM bond market is underdeveloped. Asset managers … solutions to the problem of low quality data for efficient hedging. Normal distribution is assumed at all times. I offer an …