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Screening and monitoring corporate loans
Gryglewicz, Sebastian; Mayer, Simon; Morellec, Erwan - 2021
How much of a loan should a lender dynamically retain and how does retention affect loan performance? We address these questions in a dynamic agency model in which a lender originates loans that it can sell to investors. The lender reduces default risk through screening at origination and...
Persistent link: https://www.econbiz.de/10012800127
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …
Persistent link: https://www.econbiz.de/10011293796
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Mortgage-backed securities
Fuster, Andreas; Lucca, David O.; Vickery, James - 2022
economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage securitization …
Persistent link: https://www.econbiz.de/10013168786
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Optimal securitization with heterogeneous investors
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2010
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 … derive a number of comparative static results for optimal securitization. The model generates theoretical predictions and …
Persistent link: https://www.econbiz.de/10003979499
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011
We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create … intermediaries have all the bargaining power, securitization improves the intermediary's screening incentives and increases the … best levels when the number of securitized assets is sufficiently large. securitization, mortgage-backed securities, moral …
Persistent link: https://www.econbiz.de/10009375121
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Structured debt ratings : evidence on conflicts of interest
Efing, Matthias; Hau, Harald - 2013
show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business …
Persistent link: https://www.econbiz.de/10009750621
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Affine pricing and hedging of collateralized debt obligations
Eksia, Zehra; Filipović, Damir - 2020
Persistent link: https://www.econbiz.de/10012419633
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market trading. Using data on auctions (bids wanted in competition; BWICs) from the collateralized loan obligation (CLO) market, we show that a standard measure of liquidity, the effective...
Persistent link: https://www.econbiz.de/10012271211
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Distance effects in CMBS loan pricing : banks versus non-banks
Eichholtz, Piet; Ongena, Steven; Yönder, Erkan - 2019
Comparing banks to non-bank lenders, we investigate whether the geographical distance between lenders, borrowers and their properties is reflected in the pricing of US mortgages that were included in US CMBS pools during the 2000 to 2017 period. The difference in loan spread when bank-borrower...
Persistent link: https://www.econbiz.de/10012134672
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Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …
Persistent link: https://www.econbiz.de/10012487672