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securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS …
Persistent link: https://www.econbiz.de/10011391709
Persistent link: https://www.econbiz.de/10013428543
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on …
Persistent link: https://www.econbiz.de/10011486236
financial institutions. First, we establish that age, gender, and education jointly affect the variability of bank performance …
Persistent link: https://www.econbiz.de/10009509092
risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376
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the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for …
Persistent link: https://www.econbiz.de/10012250648
between borrowers and lenders, we quantify the value of using patents as collateral with regard to capital access. Although … patent collateral and access to capital. We make use of mandatory collateral registry data in Sweden and the Netherlands to …-in-difference regressions on firms' debt allows deducting treatment effects of using patents as collateral. We find that patent pledging enables …
Persistent link: https://www.econbiz.de/10013346735
study the intended and unintended consequences of asset purchases in the repo market with Bund collateral. Bunds that are …
Persistent link: https://www.econbiz.de/10013411244