This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two ...

We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a c...

Note: The following appendices will not appear in the Code of Federal Regulations. Commodity Futures Trading Commission (CFTC) Appendices to Treatment of Certain Collateralized Debt Obligations Backed Primarily by Trust Preferred Securities With Regard to Prohibitions and Restrictions on Certain Interests in, and Relationships With, Hedge Funds and Private Equity Funds—Commission Voting Summary...

This paper investigates the effects of mortgage-backed securities (MBS) hedging activity on interest-rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBS considerably improves model performance in pricing interest-rate options and in forecasting future interest-rate volatility. The empirical res...

We measure how securitized assets, including mortgage-backed securities and other assetbacked securities, have shifted across financial institutions over this crisis and how the availability of financing has accommodated such shifts. Sectors dependent on repo financing – in particular, the hedge fund and broker-dealer sector – have reduced asset holdings, while the commercial banking sector, wh...

ABSTRACT Examining the contractual disclosures during sale of private‐label residential mortgage‐backed securities before 2008 financial crisis, we find that textual contents in risk‐factor section predict subsequent losses and yet were not reflected pricing. Insurance companies, especially life insurers with low regulatory capital ratios, are more exposed to risks. Consistent issuers hedging l...

The research is motivated to analyze mortgage-backed securities solve the housing supply backlog problem in Indonesia. first regarding legality of mortgage backed Indonesia, second about disinterest industry Indonesia take advantage securities, and optimizing existing resources make more attractive. Since its establishment 1998 until 2015 or secondary financing facility has not been maximally u...