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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2016
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on … with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching …
Persistent link: https://www.econbiz.de/10011975264
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Arbitraging the Basel securitization framework : evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …
Persistent link: https://www.econbiz.de/10011391709
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Credit Ratings, Regulatory Arbitrage and Capital Requirements : Do Investors Strategically Allocate Bond Portfolios?
Adriaan Boermans, Martijn - 2020
This study investigates whether banks and insurance corporations perform regulatory arbitrage by buying bonds with …
Persistent link: https://www.econbiz.de/10012840987
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Mortgage Loans In January-July 2022
Zubov, Sergey - 2023
The destabilization of the economic situation led to a decline in the volume of transactions on the mortgage market. The subsequent measures of the government and the Central Bank helped reducing market rates and partially restore activity at the market. The schemes of practically interest-free...
Persistent link: https://www.econbiz.de/10014355507
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Rating agencies and information efficiency : do multiple credit ratings pay off? ; [the case of RMBS rating migration]
Morkoetter, Stefan; Stebler, Roman; Westerfeld, Simone - 2015
We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and...
Persistent link: https://www.econbiz.de/10011343380
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The Rise and Fall of Bank Credit Securitisation : Capital Relief, Augmented Lending and Spillover Effects
Neumann, Niklas - 2017
Securitisation allows banks to swap risky assets for cash and thereby boost regulatory capital measures and attain a higher balance sheet turnover. As a result, access to securitisation lowers banks' dependence on capital in lending and increases credit supply. In my empirical strategy I compare...
Persistent link: https://www.econbiz.de/10012952237
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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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Securitization and Moral Hazard : Evidence from Credit Score Cutoff Rules
Bubb, Ryan - 2013
the moral hazard effect of securitization on underwriting. This research design is premised on the assumption that these … cutoff rules are a response by lenders to securitization rules of thumb. We reexamine the evidence and find it is … cutoff rules in underwriting, one cannot use these same cutoff rules to learn about the effect of securitization on …
Persistent link: https://www.econbiz.de/10013095622
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Anatomy of ABS CDO : Why Do ABS CDOs Exist?
Park, Sunyoung - 2013
that there is a large re-securitization rate distinction between AAA- and non AAA-rated tranches. Less than 1% of AAA …
Persistent link: https://www.econbiz.de/10013083730
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Shadow banking : financial intermediation beyond banks
Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018
Persistent link: https://www.econbiz.de/10011790739