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Incentives and Tranche Retention in Securitisation: A Screening Model

Fender, Ingo; Mitchell, Janet - C.E.P.R. Discussion Papers - 2009

This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of...

Persistent link: https://www.econbiz.de/10008459771

Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations

Peersman, Gert; Wagner, Wolf - C.E.P.R. Discussion Papers - 2015

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization. …

Persistent link: https://www.econbiz.de/10011262887

Securitization and Compensation in Financial Institutions

Inderst, Roman; Pfeil, Sebastian - C.E.P.R. Discussion Papers - 2010

their securitization decision. We also assess the case for requiring financial institutions to defer bonus pay so as to make … interaction of financial institutions' internal agency problems with the external agency problem that arises from securitization. …

Persistent link: https://www.econbiz.de/10008692310

Securitization, Transparency and Liquidity

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2008

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social...

Persistent link: https://www.econbiz.de/10005504512

Privately versus Publicly Optimal Skin in the Game: Optimal Mechanism and Security Design

Chemla, Gilles; Hennessy, Christopher - C.E.P.R. Discussion Papers - 2011

We examine screening incentives, welfare and the case for mandatory skin-in-the-game. Ex ante banks can screen, using interim private information to choose retentions and structuring. Ex post speculators trade with rational hedging investors. Absent regulation, there is a separating equilibrium...

Persistent link: https://www.econbiz.de/10009024483

Loan Sales and Screening Incentives

Bester, Helmut; Gehrig, Thomas; Stenbacka, Rune - C.E.P.R. Discussion Papers - 2012

We analyze the effect of loan sales on the intensity of costly screening. Loan sales strengthen screening incentives when screening primarily improves the bank’s ability to identify profitable loans and when banks retain most of those profitable loans. However, loan sales dampen screening...

Persistent link: https://www.econbiz.de/10011083726

Lending relationships and credit rationing: the impact of securitization

Carbó Valverde, Santiago; Degryse, Hans; … - C.E.P.R. Discussion Papers - 2012

Banks have been heavily involved in securitization. We study whether the involvedness of a firm’s main bank into … different types of securitization activity -- asset backed securities (ABS) and covered bonds -- influences credit supply before … and during the 2007-8 financial crisis. Both types of securitization allow the bank to generate liquidity. To the extent …

Persistent link: https://www.econbiz.de/10011084511

Credit Ratings Failures and Policy Options

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2009

This paper examines the role of credit rating agencies in the subprime crisis that triggered the 2007-08 financial turmoil. The focus of the paper is on two aspects of ratings that contributed to the boom and bust of the market for asset-backed securities: rating inflation and coarse information...

Persistent link: https://www.econbiz.de/10008558591

Lessons from the 2007 Financial Crisis

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2007

macroeconomic pathologies. Among the microeconomic systemic failures were: wanton securitisation, fundamental flaws in the rating …

Persistent link: https://www.econbiz.de/10005791213

Securitization and Commodity Contingency in International Lending

Anderson, Ronald W.; Gilbert, Christopher L - C.E.P.R. Discussion Papers - 1989

Securitization of LDC debt would significantly aid the international debt problem by increasing liquidity and expanding … the range of investors. Securitization is problematic, however, in large part due to sovereign risks involved. At present …

Persistent link: https://www.econbiz.de/10005791968