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Securitization Without Risk Transfer
Acharya, Viral V; Schnabl, Philipp; Suarez, Gustavo - C.E.P.R. Discussion Papers - 2012
We analyze asset-backed commercial paper conduits, which experienced a shadow-banking "run" and played a central role … in the early phase of the financial crisis of 2007-09. We document that commercial banks set up conduits to securitize … arbitrage was the main motive behind setting up conduits: the guarantees were structured so as to reduce regulatory capital …
Persistent link: https://www.econbiz.de/10011084084
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Securitization without risk transfer
Acharya, Viral V.; Schnabl, Philipp; Suárez, Gustavo A. - In: Journal of financial economics 107 (2013) 3, pp. 515-536
Persistent link: https://www.econbiz.de/10009730613
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Arbitraging the Basel securitization framework: Evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011390948
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Arbitraging the Basel securitization framework: Evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011984805
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Determinants of structured finance issuance: A cross-country comparison
Schuetz, Sebastian A. - 2011
Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...
Persistent link: https://www.econbiz.de/10010286571
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011391709
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264
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Determinants of Structured Finance Issuance - A Cross-Country Comparison
Schuetz, Sebastian A. - 2011
Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance...
Persistent link: https://www.econbiz.de/10010614506
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The “greatest” carry trade ever? Understanding eurozone bank risks
Acharya, Viral V.; Steffen, Sascha - In: Journal of Financial Economics 115 (2015) 2, pp. 215-236
We show that eurozone bank risks during 2007–2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond returns and negatively on German government bond returns, which generated carry until the...
Persistent link: https://www.econbiz.de/10011189256