Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management … CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets. -- Modern bank …

lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the …

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …