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Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)
Loris, André; Grept, Alice; Laut, Nadia; Plantier, Gabriel - 2023
This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …
Persistent link: https://www.econbiz.de/10014258296
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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003831933
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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - In: Applied financial economics 20 (2010) 1/3, pp. 105-135
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003935981
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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003987284
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A Simple Model of Trading and Pricing Risky Assets Under Ambiguity : Any Lessons for Policy-Makers?
Guidolin, Massimo - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10013153543
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Liquidity in a Market for Unique Assets : Specified Pool and TBA Trading in the Mortgage Backed Securities Market
Gao, Pengjie - 2016
Agency mortgage-backed securities trade simultaneously in a market for specified pools (SPs) and in the to-be-announced (TBA) forward market. TBA trading creates liquidity by allowing thousands of different MBS to be traded in a handful of TBA contracts. SPs that are eligible to be traded as...
Persistent link: https://www.econbiz.de/10013002691
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Transparency through financial claims with fingerprints : a free market mechanism for preventing mortgage securitization induced financial crises
Gründl, Helmut; Post, Thomas - 2009
Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 20072009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process to...
Persistent link: https://www.econbiz.de/10003815243
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Transparency and Dealer Networks : Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market
Schultz, Paul - 2018
We examine the introduction of mandatory post-trade reporting in the TBA mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors' trades with peripheral dealers than for their trades with core...
Persistent link: https://www.econbiz.de/10012932309
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Structured debt ratings : evidence on conflicts of interest
Efing, Matthias; Hau, Harald - 2013
maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we …
Persistent link: https://www.econbiz.de/10009750621
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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