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Highlights from structured finance association (SFA)

In: The journal of structured finance 27 (2021) 2, pp. 73-83

Persistent link: https://www.econbiz.de/10012613498

Collateral constraints, tranching, and price bases

Gong, Feixue; Phelan, Gregory - 2021 - This version: April 6, 2021

Persistent link: https://www.econbiz.de/10012603945

A Benchmark for Collateralized Loan Obligations

Elkamhi, Redouane; Li, Ruicong; Nozawa, Yoshio - 2021

We build a benchmark for AAA-rated tranches of Collateralized Loan Obligations (CLOs) using Business Development Companies (BDCs), which hold a diversified portfolio of loans as CLOs do. However, BDCs are publicly listed, and their share price, equity volatility and borrowing cost are...

Persistent link: https://www.econbiz.de/10013251586

Toxic asset subsidies and the early redemption of talf loans

Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20

This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...

Persistent link: https://www.econbiz.de/10013252762

Systematic and liquidity risk in subprime-mortgage backed securities

Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - In: Open economies review 24 (2013) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10009737967

The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - In: Journal of risk 16 (2013/2014) 1, pp. 3-33

Persistent link: https://www.econbiz.de/10013262916

Current state and perspectives of securitization processes in the Russian Federation

Nikolaevna, Koniagina Mariia - In: International journal of business and economic sciences … 13 (2020) 3, pp. 45-55

Purpose: The study is aimed not only at determining the current state of the bank asset securitization market but also … at developing methods and ways to improve the processes of bank asset securitization in Russia. Design …/methodology/approach: The article presents the results of a survey of Russian market securitization over the last 10 years, where the author …

Persistent link: https://www.econbiz.de/10012485861

Risk and performance of mutual funds' securitized mortgage investments

Ambrose, Brent William; Diop, Moussa; D'Lima, Walter; … - In: The journal of real estate finance and economics 59 (2019) 4, pp. 515-548

Persistent link: https://www.econbiz.de/10012385063

Did the securitization market freeze affect bank lending during the financial crisis? : evidence from a credit register

Bonaccorsi di Patti, Emilia; Sette, Enrico - In: Journal of financial intermediation 25 (2016), pp. 54-76

Persistent link: https://www.econbiz.de/10011714693

Mortgage securities as funding source for mortgage loans in the European Union

Stefanović, Saša; Hanić, Hasan; Erić, Dejan - In: Economic analysis : EA 48 (2015) 1/2, pp. 69-85

Persistent link: https://www.econbiz.de/10012063311