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Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?
Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …
Persistent link: https://www.econbiz.de/10014362634
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Risk characteristics of covered bonds : monitoring beyond ratings
Grothe, Magdalena; Zeyer, Jana - 2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012206219
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Securitization and credit quality
Kara, Alper; Marqués Ibáñez, David; Ongena, Steven - 2017
securitization activity on loans' relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated … securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control … group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks' reduced …
Persistent link: https://www.econbiz.de/10011636924
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Macroeconomic effects of secondary market trading
Neuhann, Daniel - 2017
This paper develops a theory of the credit cycle to account for recent evidence that capital is increasingly allocated to inefficiently risky projects over the course of the boom. The model features lenders who sell risk exposure to non-lender investors in order to relax borrowing constraints,...
Persistent link: https://www.econbiz.de/10011636206
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Credit rating dynamics : evidence from a natural experiment
Abidi, Nordine; Falagiarda, Matteo; Miquel-Flores, Ixart - 2019
This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. Specifically, we exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming...
Persistent link: https://www.econbiz.de/10011997583
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How does risk flow in the credit default swap market?
D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomo; … - 2017
We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...
Persistent link: https://www.econbiz.de/10011636198
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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...
Persistent link: https://www.econbiz.de/10012259354
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How news affects sectoral stock prices through earnings expectations and risk premia
Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10012316963
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The rise in the cross sectoral dispersion of earnings expectations during COVID 19
Bats, Joost; Greif, William; Kapp, Daniel - 2022
This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....
Persistent link: https://www.econbiz.de/10013198744
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Interconnected banks and systemically important exposures
Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019
We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...
Persistent link: https://www.econbiz.de/10012132464