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Understanding the securitization of subprime mortgage credit

Ashcraft, Adam B. (contributor); Schuermann, Til (contributor) - 2008

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational … predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document … Century Financial during 2006. -- Subprime mortgage credit ; securitization ; rating agencies ; principal agent ; moral hazard …

Persistent link: https://www.econbiz.de/10003781458

Shadow banking regulation

Adrian, Tobias; Ashcraft, Adam B. - 2012

repurchase agreements, money market mutual funds, and securitization. Despite significant efforts by lawmakers, regulators, and …

Persistent link: https://www.econbiz.de/10009528777

Money, liquidity, and monetary policy

Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2009

In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the balance sheet growth of broker-dealers provides a...

Persistent link: https://www.econbiz.de/10003812553

Global liquidity and exchange rates

Adrian, Tobias (contributor); Etula, Erkko M. (contributor); … - 2009

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate growth—at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and for a large set of currencies. We estimate prices of risk using a cross-sectional asset...

Persistent link: https://www.econbiz.de/10003812554

Bank capital and value in the cross section

Mehran, Hamid; Thakor, Anjan V. - 2009

We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that...

Persistent link: https://www.econbiz.de/10003947552

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

The tri-party repo market before the 2010 reforms

Copeland, Adam; Martin, Antoine; Walker, Michael - 2010

This paper provides a descriptive and quantitative account of the tri-party repo market before the reforms proposed in 2010 by the Task Force on Tri-Party Repo Infrastructure (Task Force 2010). We provide an extensive description of the mechanics of this market. We also use data from July 2008...

Persistent link: https://www.econbiz.de/10008746898

Do underwriters matter? : the impact of the near loss of an equity underwriter

Kovner, Anna - 2010

The financial crisis provides a natural experiment for testing theoretical predictions of the equity underwriter’s role following an initial public offering. Clients of Bear Stearns, Lehman Brothers, Merrill Lynch, and Wachovia saw their stock prices fall almost 5 percent, on average, on the...

Persistent link: https://www.econbiz.de/10008657209

MBS ratings and the mortgage credit boom

Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...

Persistent link: https://www.econbiz.de/10008657284

Repo runs

Martin, Antoine; Skeie, David; Thadden, Ernst-Ludwig von - 2010 - Rev.

This paper develops a model of financial institutions that borrow short-term and invest in long-term marketable assets. Because these financial intermediaries perform maturity transformation, they are subject to runs. We endogenize the profits of an intermediary and derive distinct liquidity and...

Persistent link: https://www.econbiz.de/10008657307