This paper derives a bank capital allocation model and applies it in the determinants of securitization. According to … increase riskier loans to raise capital return, or to decrease loans to alleviate risk.Securitization is one way to alleviate … securitization to maximize utility. To derive a bank capital allocation model, HJB equation in control theory and a specific utility …

risk-taking as measured by the ratio of non-performing loans to total loans and credit default swap (CDS) spreads. Using a …

covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features …

financial crisis - the mortgage credit cycle and the home price cycle. In the viewpoint of mortgage lending, the main demand …-side driver for the observed credit concentration from the early 2000s was the extremely low, even negative, user cost of capital … credit between early to mid 2000s are identified to be: the favorable interest rate environment, the low rates as well as the …

Century Financial during 2006. -- Subprime mortgage credit ; securitization ; rating agencies ; principal agent ; moral hazard …In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational … predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document …

This study investigates the impact of securitization on the credit-risk taking behavior of banks. Using US bank holding … credit-risk taking behavior. We attribute these results to the recourse commonly provided in securitization transactions that … credit support provided by banks. This leads us to suggest that banks have typically viewed securitization as a financing …