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Agency conflicts in residential mortgage securitization : what does the empirical literature tell us?
Frame, W. Scott - 2016
The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the … origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems …
Persistent link: https://www.econbiz.de/10011623267
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Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...
Persistent link: https://www.econbiz.de/10013252762
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The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
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The failure of Northern Rock : a multi-dimensional case study
Bruni, Franco (ed.); Llewellyn, David T. (ed.) - 2009
limited by regulation largely to retail deposits and mortgages. Graphic television news pictures showed very long queues …
Persistent link: https://www.econbiz.de/10011705347
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Shadow banking: Financial intermediation beyond banks
Jokivuolle, Esa (contributor) - 2018
Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.
Persistent link: https://www.econbiz.de/10011985212
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Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises
Gründl, Helmut; Post, Thomas - 2009
Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of … participants at each stage of the securitization process to obtain easily full information about the underlying original risks and … considerably enhance transparency in securitization transactions at the expense of some transaction costs, while reducing the need …
Persistent link: https://www.econbiz.de/10010265673
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CDOs and systematic risk : why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10003864303
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Structured finance influence on financial market stability : evaluation of current regulatory developments
Schütz, Sebastian A. - 2010
theoretical models and a survey of institutions involved in securitization. With the conclusions of this analysis we evaluate the …
Persistent link: https://www.econbiz.de/10008695393
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Determinants of structured finance issuance : a cross-country comparison
Schuetz, Sebastian A. - 2011 - This version: February 2011
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …
Persistent link: https://www.econbiz.de/10008907723
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Securitization and moral hazard : evidence from a lender cutoff rule
Bubb, Ryan; Kaufman, Alex - 2009
. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …
Persistent link: https://www.econbiz.de/10003941871