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Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998
through diversification. In recent years, the development of markets for credit securitization and credit derivatives has … are quite severe. A potential successful application of credit securitization and credit derivatives for managing credit …
Persistent link: https://www.econbiz.de/10009768847
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Optimal Securitization of Credit Portfolios via Impulse Control
Seydel, Roland C. - 2010
We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …
Persistent link: https://www.econbiz.de/10013135270
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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
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Endogenous Credit Derivatives and Bank Behavior
Pausch, Thilo - 2016
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10012989285
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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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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
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Dynamic Credit Portfolio Management : Linking Credit Risk Systems, Securitization and Standardised Credit Indices
Garcia, Joao; Goossens, Serge; Lamoot, Jeroen - 2008
. We discuss how securitization has changed the risk characteristics of the credit portfolios and enter into the … securitization market. To capture the evolution in the financial and economic environment (for instance, reflected in the changing …
Persistent link: https://www.econbiz.de/10014214336
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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
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Kapitalmarktorientierter Kreditrisikotransfer : Eine Analyse am Beispiel deutscher Genossenschaftsbanken
Kern, Marco (contributor) - 2009
Begriffsdefinitionen und aufsichtsrechtliche Rahmenbedingungen als Determinanten des Kreditrisikomanagements deutscher Genossenschaftsbanken -- Instrumente und Methoden zur Gestaltung von Kreditportfolien deutscher Genossenschaftsbanken -- Explorative Hypothesengewinnung zur Darstellung der...
Persistent link: https://www.econbiz.de/10014014678
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Kapitalmarktorientierter Kreditrisikotransfer : eine Analyse am Beispiel deutscher Genossenschaftsbanken
Kern, Marco - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003688723