Narrow search
Showing 1 - 10 of 386
Cover Image
Are universal banks better underwriters?
Focarelli, Dario; Marques-Ibanez, David; Pozzolo, … - 2011
’s restrictions. Securities underwritten by commercial banks’ subsidiaries have a higher probability of default than those … gain market share and/or to the lower initial ability of these banks to correctly evaluate default risk …
Persistent link: https://www.econbiz.de/10009640613
Cover Image
Are universal banks better underwriters? : evidence from the last days of the Glass-Steagall Act
Focarelli, Dario; Marqués Ibáñez, David; Pozzolo, … - 2011
's restrictions. Securities underwritten by commercial banks' subsidiaries have a higher probability of default than those … gain market share and/or to the lower initial ability of these banks to correctly evaluate default risk. - Glass …-Steagall Act ; securities underwriting ; default ; investment banking …
Persistent link: https://www.econbiz.de/10008901496
Cover Image
Risk characteristics of covered bonds : monitoring beyond ratings
Grothe, Magdalena; Zeyer, Jana - 2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012206219
Cover Image
Do reputable issuers provide better-quality securitizations?
Deku, Solomon Y.; Kara, Alper; Marqués Ibáñez, David - 2019
We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that,...
Persistent link: https://www.econbiz.de/10011975518
Cover Image
Intensified competition and the impact on credit ratings in the RMBS market
Breemen, Vivian van; Fabozzi, Frank J.; Vink, Dennis - 2022
In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017-2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and...
Persistent link: https://www.econbiz.de/10013329377
Cover Image
Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?
Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...
Persistent link: https://www.econbiz.de/10014362634
Cover Image
Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds'...
Persistent link: https://www.econbiz.de/10012622810
Cover Image
The rise of bond financing in Europe
Darmouni, Olivier; Papoutsi, Melina - 2022
The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...
Persistent link: https://www.econbiz.de/10013198743
Cover Image
Safe assets : a review
Golec, Pascal; Perotti, Enrico C. - 2017
We survey the emerging literature on safe assets. The recent evidence on a time-varying safety premium suggests a demand for safety quite distinct from liquidity and classic money demand, offering insight on a strong segmentation between safe savings and speculative investment markets. A related...
Persistent link: https://www.econbiz.de/10011637030
Cover Image
Bank bond holdings and bail-in regulatory changes : evidence from euro area security registers
Altavilla, Carlo; Fernandes, Cecilia Melo; Ongena, Steven; … - 2022
We assess the impact on bank bond holdings of regulatory changes in the requirements for bail-inable liabilities designed to facilitate an orderly resolution process, while reducing taxpayers-funded bailouts. Analyzing confidential data on securities holdings by banks, we document that the...
Persistent link: https://www.econbiz.de/10013485858