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The 2007 meltdown in structured securitization searching for lessons, not scapegoats
Caprio, Gerard (contributor);  … - 2008
divert attention from the underlying breakdown of incentives. Incentive conflicts explain how securitization went wrong, why … supervision in every country in the world. The paper concludes by identifying reforms that would improve incentives by increasing … transparency and accountability in government and industry alike. "--World Bank web site …
Persistent link: https://www.econbiz.de/10003771166
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Structured finance influence on financial market stability : evaluation of current regulatory developments
Schütz, Sebastian A. - 2010
In 2007 the world faced one of the biggest financial crises ever. It was the third important financial crisis in the … theoretical models and a survey of institutions involved in securitization. With the conclusions of this analysis we evaluate the …
Persistent link: https://www.econbiz.de/10008695393
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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
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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
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Finanzkrise und Reformbedarf : Gutachten für den 68. Deutschen Juristentag
Hellwig, Martin - 2010
regulatory reform. The analysis ascribes the crisis not only to problems in subprime mortgage lending and securitization, but … and securitization, focusing on problems of security design and governance, and lack of external discipline from rating …. Among systemic flaws, the paper discusses governance problems in mortgage origination and securitization as well as banking …
Persistent link: https://www.econbiz.de/10003971226
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009
adjustment ; IRB approach ; securitization …
Persistent link: https://www.econbiz.de/10003867202
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To securitise or to price credit default risk?
McGowan, Danny; Nguyen, Huyen - 2020
We evaluate lenders' incentives to mitigate credit default risk through pricing or securitisation. Exploiting exogenous variation in credit default risk created by differences in foreclosure law along US state borders, we find that lenders in the mortgage market respond to the law in...
Persistent link: https://www.econbiz.de/10012238387
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To securitise or to price credit default risk?
McGowan, Danny; Nguyen, Huyen - 2020 - This draft: August 31, 2020
We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...
Persistent link: https://www.econbiz.de/10012269093
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Adequacy of capital requirements for securitizations : financial engineering of regulatory approaches, cyclicality, systematic risk and rating standards
Lützenkirchen, Kristina Alexandra - 2014
Persistent link: https://www.econbiz.de/10010481384
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CDOs and systematic risk : why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10003864303