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Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …
Persistent link: https://www.econbiz.de/10012487672
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Lemons and money market?
Ewerhart, Christian; Feubli, Patricia - 2010
This paper identifies simple conditions for monotone comparative statics of a unique equilibrium in the Akerlof-Wilson model. Separate conditions apply to trade volume and price. Trade volume increases when supply becomes both stronger and more elastic. In contrast, price decreases when supply...
Persistent link: https://www.econbiz.de/10003973048
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News about zero-leverage firms
Geelen, Thomas A. - 2016
I develop a dynamic model of financing decisions and optimal debt maturity choice in which creditors face adverse selection and learn about the firm's quality from news. In equilibrium, shareholders may choose to postpone debt issuance to reduce adverse selection and improve the pricing of newly...
Persistent link: https://www.econbiz.de/10011626255
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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/10013168786
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Asymmetric information and adverse selection in Mauritian slave auctions
Dionne, Georges; St.-Amour, Pascal; Vencatachellum, Désiré - 2008
Information asymmetry is a necessary prerequisite for testing adverse selection. This paper applies this sequence of tests to Mauritian slave auctions. Dynamic auction theory with private value highlights more aggressive bidding by uninformed bidders and higher prices when an informed...
Persistent link: https://www.econbiz.de/10003966182
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …
Persistent link: https://www.econbiz.de/10011293796
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Optimal securitization with heterogeneous investors
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2010
We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and … risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each … derive a number of comparative static results for optimal securitization. The model generates theoretical predictions and …
Persistent link: https://www.econbiz.de/10003979499
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The price of protection : derivatives, default risk, and margining
Gibson, Rajna; Murawski, Carsten - 2008
We investigate the effects of margining, a widely-used mechanism to attach collateral to derivatives contracts, on derivatives' trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to derive a set of testable...
Persistent link: https://www.econbiz.de/10003966202
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Optimal incentives and securitization of defaultable assets
Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011
We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create … intermediaries have all the bargaining power, securitization improves the intermediary's screening incentives and increases the … best levels when the number of securitized assets is sufficiently large. securitization, mortgage-backed securities, moral …
Persistent link: https://www.econbiz.de/10009375121
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Liquidity management in banking : what is the role of leverage?
Vo, Quynh Anh - 2015
This paper proposes a positive theory of the links between banks' capitalisation and their liquidity risk taking, the extent of fire-sale problems, and the severity of liquidity crises. In a basic framework with a single bank, we find that banks' incentives to hold liquidity for precautionary...
Persistent link: https://www.econbiz.de/10011506358