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The Impact of Risk Retention Regulation on the Underwriting of Securitized Mortgages

Furfine, Craig - 2018

The Dodd-Frank Act requires securitization sponsors to retain not less than a 5% share of the aggregate credit risk of … seemed to accelerate the securitization of originated loans during the months immediately before the rules took effect …

Persistent link: https://www.econbiz.de/10012927897

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Persistent link: https://www.econbiz.de/10011975264

The European securitization market : effects of an uneven regulatory playing field

Varouchakis, Thomas Papadogiannis - In: Journal of financial regulation 10 (2024) 2, pp. 143-173

Persistent link: https://www.econbiz.de/10015340185

Determinants of structured finance issuance : a cross-country comparison

Schuetz, Sebastian A. - 2011 - This version: February 2011

understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …

Persistent link: https://www.econbiz.de/10008907723

Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis

Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012

Persistent link: https://www.econbiz.de/10009544686

The European significant risk transfer securitisation market

González, Fernando; Triandafil, Cristina Morar - 2023

The European significant risk transfer (SRT) securitisation market is increasingly being used by major EU banks to manage risk and capital, but is not well known. SRT can provide an extra source of capital, flexibly and at a reasonable cost. Despite the bespoke nature of transactions, the SRT...

Persistent link: https://www.econbiz.de/10014374816

Enhancing prudential standards in financial regulations

Allen, Franklin; Goldstein, Itay; Jagtiani, Julapa; … - 2014

Persistent link: https://www.econbiz.de/10010503035

Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

the CRT programs have been successful in reducing the exposure of the federal government to mortgage credit risk without … disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …

Persistent link: https://www.econbiz.de/10011806244

Tracing European structured finance counterparty networks

Amzallag, Adrien; Blau, Maximilian L. - 2017

Asset-backed securities (ABSs) and covered bonds (CBs) are structured finance instruments that require a range of key services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the network between issuers and service providers has...

Persistent link: https://www.econbiz.de/10011745805