Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …

that there is a large re-securitization rate distinction between AAA- and non AAA-rated tranches. Less than 1% of AAA …

using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …

Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This … paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that …

Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This … paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that …

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal … and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … (tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal … and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … (tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …