منابع مشابه
Pooling, Tranching and Credit Expansion
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well documented that, at least before the 2008 crisis, many banks were keeping a high proportion of the securities that they created on their own balance-sheets. Those securities retained included both the high-risk ‘equity’ tranche and the low-risk AAA-rated tranche. This paper builds a ...
متن کاملAsset Pooling, Credit Rationing, and Growth
I study the effect of improved financial intermediation on the process of capital accumulation by augmenting a standard model with a general contract space. With the extra contracts, intermediaries endogenously begin using roscas, or rotating savings and credit associations. These contracts allow poor agents, previously credit rationed, access to credit. As a result, agents work harder and tota...
متن کاملTranching and Rating
In this paper we analyse the source and magnitude of marketing gains from selling structured debt securities at yields that reflect only their credit ratings, or specifically at yields on equivalently rated corporate bonds. We distinguish between credit ratings that are based on probabilities of default and ratings that are based on expected default losses. We show that subdividing a bond issue...
متن کاملTranching and Rating
In this paper we analyze the source and level of the marketing gains when structured debt securities are sold at yields that reflect only their credit ratings, or specifically at the yield on an equivalently rated reference bond. We distinguish between credit ratings that are based on probabilities of default and ratings that are based on the expected default losses. We show that the marketing ...
متن کاملSecuritizing and tranching longevity exposures
We consider the problem of optimally designing longevity risk transfers under asymmetric information. We focus on holders of longevity exposures that have superior knowledge of the underlying demographic risks, but are willing to take them off their balance sheets because of capital requirements. In equilibrium, they transfer longevity risk to uninformed agents at a cost, where the cost is repr...
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ژورنال
عنوان ژورنال: Oxford Economic Papers
سال: 2013
ISSN: 0030-7653,1464-3812
DOI: 10.1093/oep/gpt029