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An Empirical Analysis of the Pricing of Collateralized Debt Obligations
Longstaff, Francis A. - 2006
We study the pricing of collateralized debt obligations (CDOs) using an extensive new data set for the actively-traded CDX credit index and its tranches. We find that a three-factor portfolio credit model allowing for firm-specific, industry, and economywide default events explains virtually all...
Persistent link: https://www.econbiz.de/10012466458
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Adaptation Using Financial Markets : Climate Risk Diversification through Securitization
Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain …
Persistent link: https://www.econbiz.de/10014512098
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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10012462978
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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/10012462921
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Special Purpose Vehicles and Securitization
Gorton, Gary - 2005
Firms can finance themselves on- or off-balance sheet. Off-balance sheet financing involves transferring assets to "special purpose vehicles" (SPVs), following accounting and regulatory rules that circumscribe relations between the sponsoring firm and the SPVs. SPVs are carefully designed to...
Persistent link: https://www.econbiz.de/10012467495
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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/10012457889
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Securitization
Gorton, Gary - 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/10012460049
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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...
Persistent link: https://www.econbiz.de/10013190993
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The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk
Gilchrist, Simon - 2013
Estimating the effect of Federal Reserve's announcements of Large-Scale Asset Purchase (LSAP) programs on corporate credit risk is complicated by the simultaneity of policy decisions and movements in prices of risky financial assets, as well as by the fact that both interest rates of assets...
Persistent link: https://www.econbiz.de/10012459324
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment...
Persistent link: https://www.econbiz.de/10012455829