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Risk Retention in the European Securitization Market : Skimmed by the Skin-in-The-Game Methods?

van Breemen, Vivian M.; Schwarz, Claudia; Vink, Dennis - 2023

using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …

Persistent link: https://www.econbiz.de/10014349343

Securitization and lending standards: evidence from the wholesale loan market

Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011

We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10011605408

Securitization and Lending Standards : Evidence from the Wholesale Loan Market

Kara, Alper - 2011

We investigate the effect of securitization activity on banks' lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10013122538

Securitization and Credit Quality

Kara, Alper - 2017

securitization activity on loans' relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated … securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control … detailed loan-by-loan information on loan credit quality would be useful to reap out the benefits of securitization …

Persistent link: https://www.econbiz.de/10012963923

The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices

Fender, Ingo - 2013

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...

Persistent link: https://www.econbiz.de/10013095930

Getting Beyond Carry Trade : What Makes a Safe Haven Currency?

Habib, Maurizio Michael - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10013131638

Bank Risk During the Financial Crisis : Do Business Models Matter?

Altunbas, Yener - 2011

We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank...

Persistent link: https://www.econbiz.de/10013119519

Interdependence and Contagion in Global Asset Markets

Beirne, John - 2012

This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism – both within and cross-market...

Persistent link: https://www.econbiz.de/10013100396

What Does a Financial Shock Do? First International Evidence

Fornari, Fabio - 2013

In this paper we attempt to evaluate the quantitative impact of financial shocks on key indicators of real activity and financial conditions. We focus on financial shocks as they have received wide attention in the recent literature and in the policy debate after the global financial crisis. We...

Persistent link: https://www.econbiz.de/10013086130

Booms and Systemic Banking Crises

Boissay, Frédéric - 2013

The empirical literature on systemic banking crises (SBCs) has shown that SBCs are rare events that break out in the midst of credit intensive booms and bring about particularly deep and long-lasting recessions. We attempt to explain these phenomena within a dynamic general equilibrium model...

Persistent link: https://www.econbiz.de/10013086964

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