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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

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 …This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in …

Persistent link: https://www.econbiz.de/10013168786

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

Climate change risk and the costs of mortgage credit

Nguyen, Duc Duy; Ongena, Steven; Qi, Shusen; Sila, Vathunyoo - 2020

in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a … mortgage markets …

Persistent link: https://www.econbiz.de/10012419646

(When) do banks react to anticipated capital reliefs?

Arnould, Guillaume; Guin, Benjamin; Ongena, Steven; … - 2020

publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk …

Persistent link: https://www.econbiz.de/10012421476

commercial mortgage-backed securities

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

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286

Linkages between direct and securitized real estate

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...

Persistent link: https://www.econbiz.de/10003970466

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

Response speeds of direct and securitized real estate to shocks in the fundamentals

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010

We use sector level REIT and transaction-based direct real estate data for the U.S. to provide a clearer understanding of the dynamic relations between public and private real estate returns. We exclude leverage from REIT returns to make the REIT data more comparable with the direct market data....

Persistent link: https://www.econbiz.de/10008797757

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