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Pooling, Tranching and Credit Expansion
Bougheas, Spiros - CESifo - 2012
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …
Persistent link: https://www.econbiz.de/10010555214
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Bank Capital Regulation with an Opportunistic Rating Agency
Efing, Matthias - CESifo - 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...
Persistent link: https://www.econbiz.de/10010667420
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Holes in the Dike: The Global Savings Glut, U.S. House Prices and the Long Shadow of Banking Deregulation
Hoffmann, Mathias; Stewen, Iryna - CESifo - 2015
We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2012. To obtain an ex ante measure of financial liberalization, we focus on the history...
Persistent link: https://www.econbiz.de/10011272618
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The Price of Liquidity: Bank Characteristics and Market Conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - CESifo - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks’ reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...
Persistent link: https://www.econbiz.de/10005051588
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Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
Hoffmann, Mathias; Nitschka, Thomas - CESifo - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10005406369
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Why do Foreign Banks Withdraw from other Countries? A Panel Data Analysis
Hryckiewicz, Aneta; Kowalewski, Oskar - CESifo - 2010
problems in the home country, with a lesser factor being the weak performance of the foreign subsidiary. …
Persistent link: https://www.econbiz.de/10008583673
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Creative Destruction and Productive Preemption
Norbäck, Pehr-Johan; Persson, Lars; Svensson, Roger - CESifo - 2013
We develop a theory of innovation for entry and sale into oligopoly, and show that inventions of higher quality are more likely to be sold (or licensed) to an incumbent due to strategic product market effects on the sales price. Such preemptive acquisitions by incumbents are shown to stimulate...
Persistent link: https://www.econbiz.de/10010877893
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Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2012
significant statistical difference in the performance of different models. Is it only a matter of chance that in a particular … ranking and comparing the performance of VaR and ES models based on a nonparametric ANOVA test. The relative performance of … statistically significant difference in their performance. The top performers are conditional extreme value GARCH model, models …
Persistent link: https://www.econbiz.de/10010586077
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Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2009
quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen …
Persistent link: https://www.econbiz.de/10008572519
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Credit Risk in General Equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - CESifo - 2014
This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general...
Persistent link: https://www.econbiz.de/10010877793