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Are Credit Default Swaps Associated with Higher Corporate Defaults?

Peristiani, Stavros C. - 2011

Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton's contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms. Our analysis does not generally find a...

Persistent link: https://www.econbiz.de/10013124670

CDS and Equity Market Reactions to Stock Issuances in the U.S. Financial Industry : Evidence from the 2002-13 Period

Cornett, Marcia Millon - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10013044326

Securitization and the Fixed-Rate Mortgage

Fuster, Andreas - 2014

mortgages are difficult to securitize. Our analysis exploits plausibly exogenous variation in access to liquid securitization … markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as … securitization (private versus government-backed) has little effect on FRM supply during periods when private securitization markets …

Persistent link: https://www.econbiz.de/10013064764

The Capital Structure and Governance of a Mortgage Securitization Utility

Mosser, Patricia C. - 2013

We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government … mutualization could address incentive misalignments arising out of securitization and government insurance, as well as how the …

Persistent link: https://www.econbiz.de/10013074595

Mortgage-Backed Securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage securitization …

Persistent link: https://www.econbiz.de/10013306170

Insurance Companies and the Growth of Corporate Loans' Securitization

Fringuellotti, Fulvia; Santos, João A. C. - 2021

We show that insurance companies have almost nonupled their investments in collateralized loan obligations (CLOs) in the post-crisis period, reaching total holdings of $125 billion in 2019. The growth in CLOs’ investments has far outpaced that of loans and corporate bonds, and was...

Persistent link: https://www.econbiz.de/10013216628

Liquidity-Saving Mechanisms

Martin, Antoine; McAndrews, James Joseph - 2007

We study the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (queue). Participants in our model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against...

Persistent link: https://www.econbiz.de/10014050916

The Mechanics of a Graceful Exit : Interest on Reserves and Segmentation in the Federal Funds Market

Bech, Morten L.; Klee, Elizabeth - 2009

To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds...

Persistent link: https://www.econbiz.de/10014199622

Competition and Adverse Selection in the Small-Dollar Loan Market : Overdraft versus Payday Credit

Melzer, Brian; Morgan, Donald P. - 2010

We find that competition from payday lenders leads depository institutions to raise overdraft fees and reduce the availability of “free” checking accounts. We attribute this rise in prices partly to adverse selection created by banks’ practice of charging a flat fee regardless of the...

Persistent link: https://www.econbiz.de/10014204039

Payday Holiday : How Households Fare After Payday Credit Bans

Morgan, Donald P.; Strain, Michael R. - 2011

Payday loans are widely condemned as a “predatory debt trap.” We test that claim by researching how households in Georgia and North Carolina have fared since those states banned payday loans in May 2004 and December 2005. Compared with households in states where payday lending is permitted,...

Persistent link: https://www.econbiz.de/10014222461