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We assess the information content of three credit ratings for tranches of newly issued European residential mortgage-backed securities. We find that tranches rated by three credit rating agencies where the rating by Standard & Poor's (S&P's) Ratings Service or Fitch is inferior to Moody's lead...
Persistent link: https://www.econbiz.de/10013033429
services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the …
Persistent link: https://www.econbiz.de/10012943878
services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the …
Persistent link: https://www.econbiz.de/10011745805
risk securitization announcements in European banking. Baseline results hold when comparing estimated wealth effects with a … find that the nexus between credit risk securitization, the issuing banks' overall risk exposure and wealth effects is …
Persistent link: https://www.econbiz.de/10013115966
using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …
Persistent link: https://www.econbiz.de/10014349343
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … banks in each Europe, Germany and USA between 1994-2009. We identified different main reasons for the banks in each region … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as …
Persistent link: https://www.econbiz.de/10008907723
Contingent convertible bonds (CoCos) issued by European global systemically important banks (GSIBs) as part of their total loss-absorbing capacity (TLAC) are meant to enhance financial stability by forcing investors to absorb losses when a bank is under stress. Coupon payments are made at...
Persistent link: https://www.econbiz.de/10012956840
This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile regressions. We investigate 699 equity funds, domiciled in fifteen European countries, that broadly invested in European stocks from January 2003 to December 2016. More than...
Persistent link: https://www.econbiz.de/10012890440
This paper introduces a return-based approach to studying a possible home bias of equity funds by estimating their exposures in their home countries. We first confirm the robustness of our approach using simulated portfolios with different proportions of domestic and foreign stocks. The...
Persistent link: https://www.econbiz.de/10012936446
Persistent link: https://www.econbiz.de/10013279498