Narrow search
Showing 1 - 10 of 64,413
Cover Image
Interaction of market and credit risk:an analysis of inter-risk correlationand risk aggregation
Böcker, Klaus; Hillebrand, Martin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In this paper we investigate the interaction between a credit portfolio and another risktype, which can be thought of as market risk. Combining Merton-like factor models forcredit risk with linear factor models for market risk, we analytically calculate their interriskcorrelation and show how...
Persistent link: https://www.econbiz.de/10005866354
Cover Image
Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions
Trinkaus, Gaby - 2010
Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a …
Persistent link: https://www.econbiz.de/10010301353
Cover Image
Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10010264540
Cover Image
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
Cover Image
The effect of large investors on asset quality : evidence from subprime mortgage securities
Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher - 2014
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010337605
Cover Image
The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
Cover Image
Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …
Persistent link: https://www.econbiz.de/10012487672
Cover Image
The systemic risk of corporate credit securitization revisited
Lojak, Benjamin; Theobald, Thomas - 2020
a securitization process. Against the background of increased corporate indebtedness, our interest is in quantifying … the U.S., where corporate credit securitization has been reintensified in recent years. Simulations deliver adverse medium …%. Securitization activities above this threshold lead to significant welfare losses from the medium-term onwards. Two transmission …
Persistent link: https://www.econbiz.de/10012224673
Cover Image
To securitize or to price credit risk?
McGowan, Danny; Nguyen, Huyen - 2020
loan guarantees, lenders transfer credit risk using securitization and do not price credit risk into mortgage contracts. In …
Persistent link: https://www.econbiz.de/10012291775
Cover Image
Peas in a pod? : comparing the U.S. and Danish mortgage finance systems
Berg, Jesper; Bækmand Nielsen, Morten; Vickery, James - 2018
covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features …
Persistent link: https://www.econbiz.de/10011857417