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Bougheas, Spiros - 2012

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …

Persistent link: https://www.econbiz.de/10010283592

Portfolio Sales and Signaling

Bougheas, Spiros; Worrall, Tim - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10011615909

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks 5 (2017) 4, pp. 1-13

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 … (tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …

Persistent link: https://www.econbiz.de/10011996550

Information asymmetries and securitization design

Franke, Günter; Herrmann, Markus; Weber, Thomas - 2007

The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these...

Persistent link: https://www.econbiz.de/10010267233

Pooling und Tranching im Rahmen von ABS-Transaktionen

Rudolph, Bernd; Scholz, Julia - 2007

In recent years the market for asset backed securities (ABS) has shown a rapid growth. In an ABS transaction assets are first pooled and then securities backed by this pool are issued. In many cases, several tranches of securities differing with respect to their priority of payment are designed....

Persistent link: https://www.econbiz.de/10010427740

Incentives and tranche retention in securitisation: a screening model

Fender, Ingo; Mitchell, Janet - 2009

This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of...

Persistent link: https://www.econbiz.de/10011506697

Banking the unbanked? Evidence from three countries

Karlan, Dean S.; Dupas, Pascaline; Robinson, Jonathan; … - 2016

We experimentally test the impact of expanding access to basic bank accounts in Uganda, Malawi, and Chile. Over two years, 17%, 10%, and 3% of treatment individuals made five or more deposits, respectively. Average monthly deposits for them were at the 79th, 91st, and 96th percentiles of...

Persistent link: https://www.econbiz.de/10011558638

Reducing foreclosures: No easy answers

Foote, Christopher L.; Gerardi, Kristopher; Goette, Lorenz - 2009

for the low number of modifications to date than contract frictions related to securitization agreements between servicers …

Persistent link: https://www.econbiz.de/10010292331

Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions

Trinkaus, Gaby - 2010

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a …

Persistent link: https://www.econbiz.de/10010301353

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

Persistent link: https://www.econbiz.de/10010264540

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