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Securitization
Gorton, Gary B. - 2012
We survey the literature on securitization and lay out a research program for its open questions. Securitization is the … markets. Securitization has grown from a small amount in 1990 to a pre-crisis issuance amount that makes it one of the largest … of the recent financial crisis. Nevertheless, despite the transformative effect of securitization on financial …
Persistent link: https://www.econbiz.de/10013096477
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The Rise and Fall of Demand for Securitizations
Chernenko, Sergey - 2014
Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...
Persistent link: https://www.econbiz.de/10013039755
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Securitization Without Risk Transfer
Acharya, Viral V. - 2010
that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …
Persistent link: https://www.econbiz.de/10013148006
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Abs Inflows to the United States and the Global Financial Crisis
Bertaut, Carol C. - 2011
The "global saving glut" (GSG) hypothesis argues that the surge in capital inflows from emerging market economies to the United States led to significant declines in long-term interest rates in the United States and other industrial economies. In turn, these lower interest rates, when combined...
Persistent link: https://www.econbiz.de/10013121035
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Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?
Erel, Isil - 2011
-rated tranches. We find, however, that banks active in securitization held more highly-rated tranches. Such a result can be …
Persistent link: https://www.econbiz.de/10013121733
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Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities
He, Jie - 2011
We examine whether rating agencies (Moody's, S&P, and Fitch) reward large issuers of mortgage-backed securities, who bring substantial business, by granting them unduly favorable ratings. The initial yield on both AAA-rated and non-AAA rated tranches sold by large issuers is higher than that on...
Persistent link: https://www.econbiz.de/10013122218
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Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?
Merrill, Craig B. - 2012
Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...
Persistent link: https://www.econbiz.de/10013102712
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A Model of a Systemic Bank Run
Uhlig, Harald - 2010
The 2008 financial crisis is reminiscent of a bank run, but not quite. In particular, it is financial institutions withdrawing deposits from some core financial institutions, rather than depositors running on their local bank. These core financial institutions have invested the funds in...
Persistent link: https://www.econbiz.de/10013152502
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Limits of Arbitrage : Theory and Evidence from the Mortgage-Backed Securities Market
Gabaix, Xavier - 2006
quot;Limits of Arbitragequot; theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner...
Persistent link: https://www.econbiz.de/10012783341
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Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities
Longstaff, Francis A. - 2010
We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently. Key factors affecting the optimal decision are the cost of refinancing and the possibility that the mortgagor may have to refinance at...
Persistent link: https://www.econbiz.de/10012762654