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The role of securitization in mortgage renegotiation

Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - 2011

We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting...

Persistent link: https://www.econbiz.de/10008821936

Machine learning and predicted returns for event studies in securities litigation preliminary and incomplete : preliminary and incomplete

Baker, Andrew; Gelbach, Jonah B. - 2020

We investigate the use of machine learning (ML) and other robust-estimation techniques in event studies conducted on single securities for the purpose of securities litigation. Single-firm event studies are widely used in civil litigation, with billions of dollars in settlements hinging on the...

Persistent link: https://www.econbiz.de/10012225357

Predicting payment migration in Canada

Kosse, Anneke; Lu, Zhentong; Xerri, Gabriel - 2020 - Last updated: September 14, 2020

Canada currently has two core payment systems for processing funds transfers between financial institutions: the Large Value Transfer System (LVTS) and the Automated Clearing Settlement System (ACSS). These systems will be replaced over the next years by three new systems: Lynx, the Settlement...

Persistent link: https://www.econbiz.de/10012286398

A Bayesian approach to backtest overfitting

Witzany, Jiří - 2017

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...

Persistent link: https://www.econbiz.de/10011722180

Fintech: is this time different? : a framework for assessing risks and opportunities for central banks

Aaron, Meyer; Rivadeneyra, Francisco; Sohal, Samantha - 2017

We investigate the risks and opportunities to the mandates of central banks arising from fintech developments. Fintech may affect the different areas of responsibility of central banks - mainly monetary policy and financial stability - by changing money demand and by changing the industrial...

Persistent link: https://www.econbiz.de/10011689315

The development and transformation of the People's Republic of China's financial system

Tobin, Damian; Volz, Ulrich - 2018

important sources of liquidity provision for smaller commercial banks and a range of non-bank financial institutions through a …

Persistent link: https://www.econbiz.de/10011811858

Multibank holding companies and bank stability

Raykov, Radoslav; Silva-Buston, Consuelo - 2018

part of a holding parent company are more resilient than independent banks. Examining the impact of the liquidity of the … holding on resiliency shows that banks are more fragile when the liquidity of the holding is lower, consistent with internal … capital markets playing a role in stabilizing banks. We also show that banks whose holdings display low liquidity levels …

Persistent link: https://www.econbiz.de/10011921938

A primer on the Canadian bankers' acceptance market

McRae, Kaetlynd; Auger, Danny - 2018

short-term income and liquidity because of their relatively attractive yield, liquidity and credit ratings. The BA market is …

Persistent link: https://www.econbiz.de/10011863026

Contagion in dealer networks

Fontaine, Jean-Sébastien; Walton, Adrian - 2020 - Last updated: January 9, 2020

Dealer networks provide essential intermediation services in over-the-counter markets. We document the response of dealer networks to the arrival of new public information. We find that after public news releases, dealer networks become more complex and channel larger flows of securities between...

Persistent link: https://www.econbiz.de/10012150064

Differential treatment in the bond market : sovereign risk and mutual fund portfolios

Converse, Nathan; Mallucci, Enrico - 2019

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

Persistent link: https://www.econbiz.de/10012126135