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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

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

The price of money : now collateral policy affects the yield curve

Nyborg, Kjell G.; Woschitz, Jiri - 2021

Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...

Persistent link: https://www.econbiz.de/10012799625

Collateral, central bank repos, and systemic arbitrage

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg; … - 2016

Central banks are under increased scrutiny because of the rapid growth in, and composition of, their balance sheets. Therefore, understanding the processes that shape these balance sheets and their consequences is crucial. We contribute by studying an extensive dataset of banks' liquidity uptake...

Persistent link: https://www.econbiz.de/10011620060

The term structure of interbank risk

Filipović, Damir; Trolle, Anders B. - 2011

We use the term structure of spreads between rates on interest rate swaps indexed to LIBOR and overnight indexed swaps to infer a term structure of interbank risk. Using a dynamic term structure model, we decompose the term structure of interbank risk into default and non-default components. We...

Persistent link: https://www.econbiz.de/10009313029

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

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

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

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

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

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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