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We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each investor gets a portfolio of these tranches. In particular, when...
Persistent link: https://www.econbiz.de/10003979499
a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio … investor for default cascades, whereby the investor makes the largest payments to the intermediary after a prescribed number of … hazard, default risk …
Persistent link: https://www.econbiz.de/10009375121
This paper models the strategic interaction between a rating agency, a banking sector 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....
Persistent link: https://www.econbiz.de/10009558367
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...
Persistent link: https://www.econbiz.de/10010412297
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013128337
, CDO, CLO, etc.). I argue that a proper 'dynamic' modeling of systemic risk is crucial for gauging the exposure to default …
Persistent link: https://www.econbiz.de/10013131934
We study the public loan guarantee programs implemented in Italy in the aftermath of the Covid-19 pandemic. Guided by a theoretical model and relying on a unique loan-level dataset covering the period between December 2019 and March 2021, including both guaranteed and non-guaranteed loans, we...
Persistent link: https://www.econbiz.de/10013288934
We compile a rich dataset that links institutional investors' position level holdings with corporate bond characteristics and estimate demand elasticities with respect to critical sources of risk. Persistence in institutions' holdings provide us with an instrument to isolate exogenous movements...
Persistent link: https://www.econbiz.de/10012421461
Italian startups financed by venture capitalists (VCs) experience a faster growth in size and become more innovative compared with other startups. VC-backed firms also show a much larger increase in equity and a reduction in their leverage. This evidence is obtained by comparing a representative...
Persistent link: https://www.econbiz.de/10012946251