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Back to the future: 900 years of securitization
Buchanan, Bonnie - In: Journal of Risk Finance 15 (2014), pp. 316-333
one of the biggest financial innovations of the last century, securitization is now viewed as a contributory factor to the … crisis. Until recently research has focused on the post-1970s mortgage securitization market. In this paper, I trace the … earlier origins of securitization, from the 12th century Genoese compera through to early 20th century efforts. The historical …
Persistent link: https://www.econbiz.de/10010944782
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Was it really a Minsky moment?
Behlul, Timur - In: Journal of Post Keynesian Economics 34 (2011) 1, pp. 137-158
In a Minskian world, the "moment" occurs after a cumulative process toward financial instability. Minsky argued that during a sustained boom, an upward revision of profit expectations should lead to higher leverage ratios and greater risk taking. In this article, I investigate whether the...
Persistent link: https://www.econbiz.de/10010612922
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew - In: Journal of Financial Economics 107 (2013) 1, pp. 111-135
We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then … punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization … contracts optimally designed, we find securitization improves the intermediary's screening incentives. Furthermore, the …
Persistent link: https://www.econbiz.de/10010593827
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LITIGATIONS, DAMAGES AND SOLUTIONS IN RESIDENTIAL MORTGAGE-BACKED SECURITIES
Jomadar, Dinesh - Volkswirtschaftliche Fakultät, … - 2009
-offs, judgments, and bankruptcies qualify for subprime loans (Hayre, 2001). Securitization is the financial technology that integrates …
Persistent link: https://www.econbiz.de/10008866120
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Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II
Gürtler, Marc; Heithecker, Dirk - Department Wirtschaftswissenschaften, Technische … - 2004
Gemäß den im Juni 2004 durch den Baseler Ausschuss endgültig verabschiedeten Kapitalstandards (Basel II) sind Kredite in Höhe des so genannten unerwarteten Verlusts mit Eigenkapital zu unterlegen. Für erwartete Verluste hat das jeweilige Kreditinstitut Rückstellungen zu bilden, wobei hier...
Persistent link: https://www.econbiz.de/10009646400
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La réaction des ABS européens aux modifications des notations d'agence : une première évaluation
Teiletche, Jérôme; Mancini, Mathieu - Université Paris-Dauphine (Paris IX) - 2007
Persistent link: https://www.econbiz.de/10010905168
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Financial engineering, consumer credit, and the stability of effective demand
Brown, Christopher - In: Journal of Post Keynesian Economics 29 (2007) 3, pp. 427-450
This paper examines the macroeconomic implications of recent developments in financial engineering, with particular emphasis on the post-1987 growth of markets for securities backed by credit card, installment, student loan, and home equity receivables. Three linkages of financial engineering to...
Persistent link: https://www.econbiz.de/10005233041
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A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks
Fermanian, Jean-David - In: The Journal of Real Estate Finance and Economics 46 (2013) 3, pp. 480-515
We define a new approach to manage prepayment, default and interest rate risks simultaneously in some standard asset-backed securities structures. We propose a parsimonious top-down approach, by modeling directly the portfolio loss process and the amortization process. Both are correlated to...
Persistent link: https://www.econbiz.de/10010866966
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Common Structures of Asset-Backed Securities and Their Risks
Sabarwal, Tarun - EconWPA - 2005
associated with the underlying collateral into risks associated with the issued securities. Understanding these structures is …
Persistent link: https://www.econbiz.de/10005134710
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A Balancing Act: Making the Canadian Secured Credit Facility Work
Laurin, Alexandre - C. D. Howe Institute - 2009
The January 2009 federal budget proposed funding a “Canadian Secured Credit Facility” as part of an economic action plan. This Facility will allocate up to $12 billion to purchases of term asset-backed securities (ABS) for loans and leases on vehicles and equipment. The Facility will be...
Persistent link: https://www.econbiz.de/10005169656