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Credit Risk Transfer and Financial Sector Performance

Marsh, Ian W; Wagner, Wolf - C.E.P.R. Discussion Papers - 2004

In this Paper we study the impact of credit risk transfer (CRT) on the stability and the efficiency of a financial system in a model with endogenous intermediation and production. Our analysis suggests that with respect to CRT, the individual incentives of the agents in the economy are generally...

Persistent link: https://www.econbiz.de/10005662362

Securitization, Transparency and Liquidity

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2008

We present a model in which issuers of asset backed securities choose to release coarse information to enhance the liquidity of their primary market, at the cost of reducing secondary market liquidity or even causing it to freeze. The degree of transparency is inefficiently low if the social...

Persistent link: https://www.econbiz.de/10005504512

Loan Sales and Screening Incentives

Bester, Helmut; Gehrig, Thomas; Stenbacka, Rune - C.E.P.R. Discussion Papers - 2012

We analyze the effect of loan sales on the intensity of costly screening. Loan sales strengthen screening incentives when screening primarily improves the bank’s ability to identify profitable loans and when banks retain most of those profitable loans. However, loan sales dampen screening...

Persistent link: https://www.econbiz.de/10011083726

Lending relationships and credit rationing: the impact of securitization

Carbó Valverde, Santiago; Degryse, Hans; … - C.E.P.R. Discussion Papers - 2012

Banks have been heavily involved in securitization. We study whether the involvedness of a firm’s main bank into … different types of securitization activity -- asset backed securities (ABS) and covered bonds -- influences credit supply before … and during the 2007-8 financial crisis. Both types of securitization allow the bank to generate liquidity. To the extent …

Persistent link: https://www.econbiz.de/10011084511

Credit Ratings Failures and Policy Options

Pagano, Marco; Volpin, Paolo - C.E.P.R. Discussion Papers - 2009

This paper examines the role of credit rating agencies in the subprime crisis that triggered the 2007-08 financial turmoil. The focus of the paper is on two aspects of ratings that contributed to the boom and bust of the market for asset-backed securities: rating inflation and coarse information...

Persistent link: https://www.econbiz.de/10008558591

Lessons from the 2007 Financial Crisis

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2007

The paper studies the causes of the current financial crisis and considers proposals for mitigation and prevention of future crises. The crisis is was the product of a ‘perfect storm’ bringing together a number of microeconomic and macroeconomic pathologies. Among the microeconomic systemic...

Persistent link: https://www.econbiz.de/10005791213

Privately versus Publicly Optimal Skin in the Game: Optimal Mechanism and Security Design

Chemla, Gilles; Hennessy, Christopher - C.E.P.R. Discussion Papers - 2011

We examine screening incentives, welfare and the case for mandatory skin-in-the-game. Ex ante banks can screen, using interim private information to choose retentions and structuring. Ex post speculators trade with rational hedging investors. Absent regulation, there is a separating equilibrium...

Persistent link: https://www.econbiz.de/10009024483

Securitization and Compensation in Financial Institutions

Inderst, Roman; Pfeil, Sebastian - C.E.P.R. Discussion Papers - 2010

their securitization decision. We also assess the case for requiring financial institutions to defer bonus pay so as to make … interaction of financial institutions' internal agency problems with the external agency problem that arises from securitization. …

Persistent link: https://www.econbiz.de/10008692310

Housing Bubbles

Arce, Oscar; López-Salido, J David - C.E.P.R. Discussion Papers - 2008

In this paper we use the notion of a housing bubble as an equilibrium in which some investors hold houses only for resale purposes and not for the expectation of a dividend, either in the form of rents or utility. We provide a life-cycle model where households face collateral constraints that...

Persistent link: https://www.econbiz.de/10005504239

Does Interbank Borrowing Reduce Bank Risk?

Dinger, Valeriya; von Hagen, Jürgen - C.E.P.R. Discussion Papers - 2008

In this paper we investigate whether banks that borrow from other banks have lower risk levels. We concentrate on a large sample of Central and Eastern European banks which allows us to explore the impact of interbank lending when exposures are long-term and interbank borrowers are small banks....

Persistent link: https://www.econbiz.de/10005504249