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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 all agents have CARA utilities, the linear tranching is …
Persistent link: https://www.econbiz.de/10003979499
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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
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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
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Structured debt ratings : evidence on conflicts of interest
Efing, Matthias; Hau, Harald - 2013
show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business …
Persistent link: https://www.econbiz.de/10009750621
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Lured by the consensus
Michaely, Roni; Rubin, Amir; Segal, Dan; Vedrashko, … - 2019
We find that investors are fixated on analysts' consensus outputs (earnings forecasts, recommendations, and forecast dispersion), which can be inferior signals compared to the corresponding outputs provided by high-quality analysts, especially when a large number of high-quality analysts follow...
Persistent link: https://www.econbiz.de/10012003008
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Bank capital regulation with an opportunistic rating agency
Efing, Matthias - 2012
This paper models the strategic interaction between a rating agency, a banking sector and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating independent capital requirements....
Persistent link: https://www.econbiz.de/10009558367
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The perennial challenge to abolish too-big-to-fail in banking : empirical evidence from the new international regulation dealing with global systemically important banks
Moenninghoff, Sebastian C.; Ongena, Steven; Wieandt, Axel - 2014
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...
Persistent link: https://www.econbiz.de/10010412297
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, Valérie; Embrechts, Paul; Sardy, Sylvain - 2011
Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...
Persistent link: https://www.econbiz.de/10009273102
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Central bank collateral frameworks
Nyborg, Kjell G. - 2015
This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these...
Persistent link: https://www.econbiz.de/10011296085
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Participants' reputation in the syndicated lending market
Kalyaeva, Daria - 2018
How do lenders use their reputation when participating in syndicated loans? I address this question by focusing on syndicate composition with respect to participants' reputation and its impact on loan spreads. I find that lender reputation enables it to compete in terms of choosing the types of...
Persistent link: https://www.econbiz.de/10011976949