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Optimal Securitization with Heterogeneous Investors
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - Swiss National Centre of Competence in Research North … - 2010
We solve the problem of optimal securitization for an issuer facing heterogeneous investorswith arbitrary time and risk preferences. We show that the optimal securitizationis characterized by multiple nonlinear tranches, and each investor gets a portfolio of thesetranches. In particular, when...
Persistent link: https://www.econbiz.de/10009305109
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Loan Pricing: Thinking Collateral
Akgün, Aydin; Vanini, Paolo - National Centre of Competence in ResearchFinancial … - 2009
We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To do this, we decompose any loan into an unsecured and asecured part. Further we explicitly consider the recovery process. The framework allows usto develop semi-analytical...
Persistent link: https://www.econbiz.de/10005868725
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Credit Supply and the Price of Housing
Favara, Giovanni; Imbs, Jean - National Centre of Competence in Research - Financial … - 2010
We show that since 1994, branching deregulations in the U.S have signi…cantly af-fected the supply of mortgage credit …, and ultimately house prices. With deregulation,the number and volume of originated mortgage loans increase, while denial … rates fall.But the deregulation has no effect on a placebo sample, formed of independent mort-gage companies that should not …
Persistent link: https://www.econbiz.de/10009522189
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The risk of relying on reputational capital: a case study of the 2007 failure of New Century Financial
Frankel, Allen B. - Bank for International Settlements / Monetary and … - 2009
losses on defective loans that had been sold to securitisers of pooled loan packages (ie, mortgage-backed securities). It …
Persistent link: https://www.econbiz.de/10009138458
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Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market
Besley, Timothy; Meads, Neil; Surico, Paolo - London School of Economics and Political Science - 2010
This paper uses a unique data set on more than 600,000 mortgagecontracts to estimate a credit supply function which allows for risk-heterogeneity. Non-linearity is modeled using quantile regressions. Wepropose an instrumental variable approach in which changes in the taxtreatment of housing...
Persistent link: https://www.econbiz.de/10009248804
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The housing meltdown: Why did it happen in the United States?
Ellis, Luci - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
The crisis enveloping global financial markets since August 2007 was triggered by actual and prospective credit losses on US mortgages. Was the United States just unlucky to have been the first to experience a housing crisis? Or was it inherently more susceptible to one? I examine the limited...
Persistent link: https://www.econbiz.de/10009305060
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Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire?
Frame, W. Scott; White, Lawrence J. - 2004
mortgage finance. We describe the special features of these two companies and their roles in the mortgage markets. We then …
Persistent link: https://www.econbiz.de/10005846884
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Emerging Competition and Risk-Taking Incentives at Fannie Mae and Freddie Mac
White, Lawrence J.; Frame, W. Scott - Federal Reserve Bank <Atlanta, Ga.> - 2004
This paper examines two major forces that may soon increase competition in the U.S. secondary conforming mortgage … market: 1) the expansion of Federal Home Loan Bank mortgage purchase programs, and 2) the adoption of revised risk …
Persistent link: https://www.econbiz.de/10005846886
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The Benchmark U.S. Treasury Market: Recent Performance and Possible Alternatives
Fleming, Michael J. - Federal Reserve Bank <New York, NY> - 2000
[...]This paper examines the benchmark role of the U.S.Treasury market and the features that make it an attractivebenchmark. In it, I examine the market’s recent performance,including yield changes relative to other fixed-income markets,changes in liquidity, repo market developments, and...
Persistent link: https://www.econbiz.de/10005870032
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Investitionen in Collateralized Debt Obligations
Heidorn, Thomas; König, Lars - Frankfurt School of Finance & Management - 2003
The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...
Persistent link: https://www.econbiz.de/10005865826