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The systemic risk of corporate credit securitization revisited

Lojak, Benjamin; Theobald, Thomas - 2020

a securitization process. Against the background of increased corporate indebtedness, our interest is in quantifying … the U.S., where corporate credit securitization has been reintensified in recent years. Simulations deliver adverse medium …%. Securitization activities above this threshold lead to significant welfare losses from the medium-term onwards. Two transmission …

Persistent link: https://www.econbiz.de/10012224673

Asset Securitizations and Credit Risk

Barth, Mary E. - 2013

This study examines the sources of credit risk associated with asset securitizations and whether credit rating agencies and the bond market differ in their assessment of this risk. Measuring credit risk using credit ratings, we find the securitizing firm's credit risk is positively related to...

Persistent link: https://www.econbiz.de/10013092802

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

The predictive strength of MBS yield spreads during asset bubbles

Deku, Solomon Y.; Kara, Alper; Semeyutin, Artur - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 111-142

Persistent link: https://www.econbiz.de/10012432632

Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)

Loris, André; Grept, Alice; Laut, Nadia; Plantier, Gabriel - 2023

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium Enterprises (SMEs) and explores ways to measure...

Persistent link: https://www.econbiz.de/10014258296

Current state and perspectives of securitization processes in the Russian Federation

Nikolaevna, Koniagina Mariia - In: International journal of business and economic sciences … 13 (2020) 3, pp. 45-55

Purpose: The study is aimed not only at determining the current state of the bank asset securitization market but also … at developing methods and ways to improve the processes of bank asset securitization in Russia. Design …/methodology/approach: The article presents the results of a survey of Russian market securitization over the last 10 years, where the author …

Persistent link: https://www.econbiz.de/10012485861

A Benchmark for Collateralized Loan Obligations

Elkamhi, Redouane; Li, Ruicong; Nozawa, Yoshio - 2021

We build a benchmark for AAA-rated tranches of Collateralized Loan Obligations (CLOs) using Business Development Companies (BDCs), which hold a diversified portfolio of loans as CLOs do. However, BDCs are publicly listed, and their share price, equity volatility and borrowing cost are...

Persistent link: https://www.econbiz.de/10013251586

Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?

Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023

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/10014362634

Credit derivatives and loan yields

Azam, Nimita; Mamun, Abdullah al; Tannous, George F. - In: The financial review : the official publication of the … 57 (2022) 1, pp. 205-241

Persistent link: https://www.econbiz.de/10012819512

Are covered bonds different from securitization bonds? : a comparative analysis of credit spreads

Correia, Mafalda C.; Pinto, João M. - In: European financial management : the journal of the … 29 (2023) 3, pp. 841-900

Persistent link: https://www.econbiz.de/10014327818

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