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Optimal Form of Retention for Securitized Loans Under Moral Hazard

Dionne, Georges - 2015

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement procedure. We assume that the originator can affect the...

Persistent link: https://www.econbiz.de/10013011183

Nonparametric Testing for Information Asymmetry in the Mortgage Servicing Market

Jedidi, Helmi - 2019

Our objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of … mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric … strong support for the presence of second-stage asymmetric information in the mortgage servicing market …

Persistent link: https://www.econbiz.de/10012890803

Cyclical Variations in Liquidity Risk of Corporate Bonds

Anténor-Habazac, Cassandre - 2018

We study regime switching features of liquidity risk in corporate bond premiums. Within a sample period ranging from July 2002 to April 2015, we first compute a liquidity risk index for BBB bonds, which considers various liquidity risk facets based on principal component analysis. Second, we...

Persistent link: https://www.econbiz.de/10012919085

Bank Capital, Securitization and Credit Risk: an Empirical Evidence

Dionne, Georges; Harchaoui, Tarek - Volkswirtschaftliche Fakultät, … - 2007

This paper is one of the first attempts to conduct an empirical investigation of the relationship between bank capital, securitization and bank risk-taking in a context of the rapid growth in off-balance-sheet activities. The data come from the Canadian financial sector. Evidence from the...

Persistent link: https://www.econbiz.de/10011110741

Banks' Capital, Securitization and Credit Risk: An Empirical for Canada

Dionne, Georges; Harchaoui, Tarek M. - Centre Interuniversitaire sur le Risque, les Politiques … - 2003

This paper is the first attempt that empirically investigates the relationship between banks capital, securitization and risk in the context of the rapid growth of off-balance-sheet activities in the Canadian financial sector. The evidence over the 1988-1998 period indicates that a)...

Persistent link: https://www.econbiz.de/10005067690

Determinants of Canadian Banks Securitization Activity

Dionne, Georges - 2003

Securitization is one of the most important developments in the international finance over the past twenty years and one of the most sophisticated tools of modern finance. The main goal of this study is to examine the statistical link between securitization and risk-based capital ratios. Our...

Persistent link: https://www.econbiz.de/10012740246