via early warning systems. We analyzed the performance of structured finance ratings and structured finance issuance … theoretical models and a survey of institutions involved in securitization. With the conclusions of this analysis we evaluate the …

We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and … risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each … derive a number of comparative static results for optimal securitization. The model generates theoretical predictions and …

credit risk transfer instrument and to increase performance, while European originators focus on regulatory capital arbitrage … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …. -- regulatory arbitrage ; securitization ; subprime crisis ; ABS ; credit risk transfer ; Basel III ; liquidity …

. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …

securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …

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 … predicted retention strategies match well those found in empirical studies. -- securitization ; tranching ; credit expansion …

We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create … intermediaries have all the bargaining power, securitization improves the intermediary's screening incentives and increases the … best levels when the number of securitized assets is sufficiently large. securitization, mortgage-backed securities, moral …

research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …

securitizers unrestricted by regulations governing traditional lending and securitization. Eager to take profits in an originate …