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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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Structured debt ratings : evidence on conflicts of interest
Efing, Matthias; Hau, Harald - 2013
We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers...
Persistent link: https://www.econbiz.de/10009750621
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CDS and credit: the effect of the bangs on credit insurance, lending and hedging
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023
Persistent link: https://www.econbiz.de/10014483049
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Managing the risks of corporate bond portfolios : new evidence in the light of the sub‐prime crisis
Barone-Adesi, Giovanni; Carcano, Nicola; Dall'O, Hakim - 2012
We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …
Persistent link: https://www.econbiz.de/10009558422
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On dynamic hedging of single-tranche collateralized debt obligations
Eksi, Zehra; Filipović, Damir - 2013
This study deals with the dynamic hedging of single-tranche collateralized debt obligations (STCDOs). As a first step … dynamics of super-senior tranches. Next, we derive the model-based variance-minimizing strategy for the hedging of STCDOs with …-minimizing and the model-free regression-based hedging on the iTraxx Europe data. Results of the in-sample hedging analysis indicate …
Persistent link: https://www.econbiz.de/10009750624
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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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 investor gets a portfolio of these tranches. In particular, when...
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 a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly effort exerted...
Persistent link: https://www.econbiz.de/10009375121
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Mortgage-backed securities
Fuster, Andreas; Lucca, David O.; Vickery, James - 2022
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...
Persistent link: https://www.econbiz.de/10013168786
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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