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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/10013161874

Peas in a pod? : comparing the U.S. and Danish mortgage finance systems

Berg, Jesper; Bækmand Nielsen, Morten; Vickery, James - 2018

covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features …

Persistent link: https://www.econbiz.de/10011857417

The mortgage rate conundrum

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2017

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve's expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to...

Persistent link: https://www.econbiz.de/10011754373

Executive compensation and risk taking

Bolton, Patrick; Mehran, Hamid; Shapiro, Joel Andrew - 2010

This paper studies the connection between risk taking and executive compensation in financial institutions. A theoretical model of shareholders, debtholders, depositors, and an executive suggests that 1) in principle, excessive risk taking (in the form of risk shifting) may be addressed by...

Persistent link: https://www.econbiz.de/10008657248

Are credit default swaps associated with higher corporate defaults?

Peristiani, Stavros C.; Savino, Vanessa - 2011

Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton's contingent claims approach, we estimate the probability of default for US nonfinancial firms. Our analysis does not generally find a...

Persistent link: https://www.econbiz.de/10009011410

CDS and equity market reactions to stock issuances in the U.S. financial industry : evidence from the 2002-13 period

Cornett, Marcia Millon; Mehran, Hamid; Pan, Kevin; … - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010423809

Securitization and the fixed-rate mortgage

Fuster, Andreas; Vickery, James - 2013

management, monetary policy, and systemic risk. In this paper, we show that securitization is a key driver of FRM supply. Our … market. Our interpretation is that securitization is particularly important for FRMs because of the prepayment and interest …. -- mortgage finance ; securitization ; regression discontinuity design ; difference-in-differences …

Persistent link: https://www.econbiz.de/10009692614

The capital structure and governance of a mortgage securitization utility

Mosser, Patricia C.; Tracy, Joseph S.; Wright, Joshua D. - 2013

We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government … mutualization could address incentive misalignments arising out of securitization and government insurance, as well as how the …

Persistent link: https://www.econbiz.de/10010202677

Insurance companies and the growth of corporate loans' securitization

Fringuellotti, Fulvia; Santos, João A. C. - 2021

We show that insurance companies have almost nonupled their investments in collateralized loan obligations (CLOs) in the post-crisis period, reaching total holdings of $125 billion in 2019. The growth in CLOs' investments has far outpaced that of loans and corporate bonds, and was characterized...

Persistent link: https://www.econbiz.de/10012597742

Run equilibria in a model of financial intermediation

Ennis, Huberto M. (contributor); Keister, Todd (contributor) - 2008

We study the Green and Lin (2003) model of financial intermediation with two new features: traders may face a cost of contacting the intermediary, and consumption needs may be correlated across traders. We show that each feature is capable of generating an equilibrium in which some (but not all)...

Persistent link: https://www.econbiz.de/10003781442

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