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Pooling, tranching and credit expansion
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
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10008935244
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Volatility Patterns of CDs, Bond and Stock Markets Before and During the Financial Crisis : Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10013128075
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Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions
Belke, Ansgar Hubertus - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10013128893
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Measuring Too-Big-To-Fail Funding Advantages from Small Banks’ CDS Spreads
Bijlsma, Michiel - 2014
Large banks derive a funding advantage from being too-big-to-fail, while small banks do not. To estimate the funding advantage we explain the CDS spreads of small banks in six major European countries during the crisis by market fundamentals and bank-specific characteristics. Next, we...
Persistent link: https://www.econbiz.de/10013056481
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10010209431
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10009347974
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Pooling, tranching and credit expansion
Bougheas, Spiros P. - 2012
predicted retention strategies match well those found in empirical studies. -- securitization ; tranching ; credit expansion …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/10009570572
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Securitization and Banks’ Equity Risk
Wu, Deming - 2018
This research explores the effects of securitization on the market's perception of banks' risk exposure between 2002 … systematic betas until 2007. We find no evidence of increasing idiosyncratic risk with securitization. We identify significant …
Persistent link: https://www.econbiz.de/10012938633
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Can capital ratios be the centre of banking regulation : a case study
Marinova, Milena - In: European financial and accounting journal : EFAJ 4 (2009) 4, pp. 8-34
The application, or to be more precise, the misapplication of securitization in the mortgage market had fatal … consequences for the financial sector worldwide. More over securitization techniques enabled single banks to reduce their … financial system. In particular, securitization and related credit risk transfer products were adequately treated neither in …
Persistent link: https://www.econbiz.de/10011459525