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Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

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

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

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

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

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

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

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

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

Textual disclosure in prospectuses and investors' security pricing

Debener, Jörn; Fenner, Arved; Klein, Philipp; Ongena, … - 2023

Persistent link: https://www.econbiz.de/10014482968

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