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Bougheas, Spiros P.; Worrall, Timothy - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10011610925

Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

Löhr, Sebastian - 2015

Correlations are the main drivers for credit portfolio risk and constitute a Major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression Approach to model and forecast implied correlations....

Persistent link: https://www.econbiz.de/10013034784

Optimal securitization with heterogeneous investors

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2010

We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and … risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each … investor gets a portfolio of these tranches. In particular, when all agents have CARA utilities, the linear tranching is …

Persistent link: https://www.econbiz.de/10003979499

Optimal incentives and securitization of defaultable assets

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011

We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create … intermediaries have all the bargaining power, securitization improves the intermediary's screening incentives and increases the … best levels when the number of securitized assets is sufficiently large. securitization, mortgage-backed securities, moral …

Persistent link: https://www.econbiz.de/10009375121

Information Frictions in Securitization Markets : Unsophisticated Investors or Opaque Assets?

Echeverry, David - 2019

Security prices are informative about the probability of a subsequent downgrade, but this informativeness is affected by two frictions taking place between the issuer and the investor. I use a measure of documentation quality in private label mortgages to show that the predominant friction...

Persistent link: https://www.econbiz.de/10012897708

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2016

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Persistent link: https://www.econbiz.de/10011975264

Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities

Ledenyov, Dimitri - 2017

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

Persistent link: https://www.econbiz.de/10012971891

Bringing Investor Confidence Back to Alternative Investments : How Enterprise Risk Management is the Answer

Olszewski, Jan - 2010

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in “silos”. A number of qualitative and quantitative...

Persistent link: https://www.econbiz.de/10013147255

Securitization and the dark side of diversification

Oordt, Maarten R. C. van - In: Journal of financial intermediation 23 (2014) 2, pp. 214-231

Persistent link: https://www.econbiz.de/10010473602

An axiomatic treatment of enlarged separation portfolios and treasurer's portfolios (with applications to financial synthetics)

Apreda, Rodolfo - 2009

Expanded separation portfolios ( Se ) and Treasurer’s portfolios T( Se ) are a sect of themselves. They arise out of risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the common lot. This paper puts forth, firstly, a down-to-earth...

Persistent link: https://www.econbiz.de/10003875180

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