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Pooling, tranching and credit expansion
Bougheas, Spiros - 2012
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 …
Persistent link: https://www.econbiz.de/10010283592
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Portfolio sales and signaling
Bougheas, Spiros P.; Worrall, Timothy - 2017
A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...
Persistent link: https://www.econbiz.de/10011610925
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Optimal form of retention for securitized loans under moral hazard
Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13
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 …
Persistent link: https://www.econbiz.de/10011783323
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Portfolio Sales and Signaling
Bougheas, Spiros; Worrall, Tim - 2017
A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...
Persistent link: https://www.econbiz.de/10011615909
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Optimal form of retention for securitized loans under moral hazard
Dionne, Georges; Malekan, Sara - In: Risks 5 (2017) 4, pp. 1-13
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 …
Persistent link: https://www.econbiz.de/10011996550
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Information asymmetries and securitization design
Franke, Günter; Herrmann, Markus; Weber, Thomas - 2007
The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these...
Persistent link: https://www.econbiz.de/10010267233
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Incentives and tranche retention in securitisation: a screening model
Fender, Ingo; Mitchell, Janet - Bank für Internationalen Zahlungsausgleich <Basel> - 2009
This paper examines the power of different contractual mechanisms to influence an originator’s choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a “vertical slice”, or...
Persistent link: https://www.econbiz.de/10009138474
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Incentives and tranche retention in securitisation : a screening model
Fender, Ingo; Mitchell, Janet - 2009
This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of...
Persistent link: https://www.econbiz.de/10011597154
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Information asymmetries and securitization design
Franke, Günter; Herrmann, Markus; Weber, Thomas - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007
The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these...
Persistent link: https://www.econbiz.de/10005357880
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Securitization and the dark side of diversification
Oordt, Maarten van - de Nederlandsche Bank - 2012
diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … different seniority levels. We show that tranching offers nonlinear diversification strategies, which can reduce the failure …
Persistent link: https://www.econbiz.de/10010543515