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PFI/PPP loans are well-suited to portfolio (CDO) securitisation
Guadagnuolo, Lapo; Simonson, Arthur F.; Albulescu, Henry; … - In: Innovations in securitisation : yearbook (2006), pp. 21-34
Persistent link: https://www.econbiz.de/10003772448
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Rating transitions in global structured finance
Hu, Jian - In: Structured credit products : pricing, rating, risk …, (pp. 87-116). 2004
Persistent link: https://www.econbiz.de/10003283034
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CDOs and systematic risk : why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10003864303
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How smart are investors after the subprime mortgage crisis? : evidence from the securitization market
Gürtler, Marc; Hibbeln, Martin - 2012
securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …
Persistent link: https://www.econbiz.de/10009569587
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The 2007 meltdown in structured securitization : searching for lessons, not scapegoats
Caprio, Gerard - 2008
divert attention from the underlying breakdown of incentives. Incentive conflicts explain how securitization went wrong, why … supervision in every country in the world. The paper concludes by identifying reforms that would improve incentives by increasing … transparency and accountability in government and industry alike. "--World Bank web site …
Persistent link: https://www.econbiz.de/10010521003
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Do asset backed securities ratings matter on average?
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Sirimon … - In: Research in international business and finance 33 (2015), pp. 32-43
Persistent link: https://www.econbiz.de/10011325893
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A business cycle approach to rating based credit risk modeling
Trück, Stefan - 2005
Persistent link: https://www.econbiz.de/10003734838
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CDOs and Systematic Risk : Why Bond Ratings are Inadequate
Krahnen, Jan Pieter - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10013158385
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The 2007 Meltdown in Structured Securitization : Searching for Lessons not Scapegoats
Caprio, Gerard - 2009
attention from the underlying breakdown of incentives. Incentive conflicts explain how securitization went wrong, why credit … supervision around the world. In concluding the paper identifies reforms that would improve incentives by increasing transparency …
Persistent link: https://www.econbiz.de/10013158630
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The Warning-Light of Automobile Securitisation : Credit Rating Agencies and Their Role in a Post-2016 World
Cash, Daniel - 2017
With 2016 providing arguably the most politically tumultuous year in recent history, the need for vigilance in the marketplace has never been greater. The proximity to the recent Financial Crisis means that any undeserved leniency now may have dramatic and irreversible effects. In this short...
Persistent link: https://www.econbiz.de/10012955854