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Securitization and moral hazard: Evidence from a lender cutoff rule

Bubb, Ryan; Kaufman, Alex - 2009

Credit score cutoff rules result in very similar potential borrowers being treated differently by mortgage lenders … perapplicant fixed costs in screening. We then demonstrate that our theory fits the data better than the main alternative theory … already in the literature, which supposes cutoff rules are exogenously used by securitizers. Furthermore, we use our theory to …

Persistent link: https://www.econbiz.de/10010286943

Securitization and moral hazard: Evidence from credit score cutoff rules

Bubb, Ryan; Kaufman, Alex - 2011

Mortgage originators use credit score cutoff rules to determine how carefully to screen loan applicants. Recent … research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … adopted credit score cutoff rules in response to underwriting guidelines from Fannie Mae and Freddie Mac and offer a simple …

Persistent link: https://www.econbiz.de/10010286944

Conflict games with payoff uncertainty

Baliga, Sandeep; Sjostrom, Tomas - 2009

Stag hunt and chicken games are canonical representations of two kinds of strategic interactions. In stag hunt, aggression feeds on itself, and mutual fear escalates into conflict. Chicken is a model of preemption and deterrence. With complete information, these games have multiple Nash...

Persistent link: https://www.econbiz.de/10010286963

Who said large banks don't experience scale economies? Evidence from a risk-return-driven cost function

Hughes, Joseph J.; Mester, Loretta - 2011

Earlier studies found little evidence of scale economies at large banks; later studies using data from the 1990s uncovered such evidence, providing a rationale for very large banks seen worldwide. Using more recent data, we estimate scale economies using two production models. The standard...

Persistent link: https://www.econbiz.de/10010286964

A relationship between risk and time preferences

Saito, Kota - 2009

This paper investigates a general relationship between risk and time preferences. I consider a decision maker who chooses between consumption of a particular prize in one period and a different prize in another period. The individual believes that today's good is certain, and that, as the...

Persistent link: https://www.econbiz.de/10010286979

Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10010287012

Empirical evaluation of asset pricing models: Arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - 2006

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...

Persistent link: https://www.econbiz.de/10010287013

Conventional and unconventional monetary policy

Cúrdia, Vasco; Woodford, Michael - 2009

sources of (potentially time-varying) credit spreads and to allow a role for the central bank's balance sheet in determining …

Persistent link: https://www.econbiz.de/10010287020

Cúrdia, Vasco; Reis, Ricardo - 2010

The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...

Persistent link: https://www.econbiz.de/10010287037

Performance maximization of actively managed funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10010287049