Incentives and tranche retention in securitisation : a screening model

Citations

Cited by:

1. Spiros Bougheas, 2014. "Pooling, tranching, and credit expansion," Oxford Economic Papers, Oxford University Press, vol. 66(2), pages 557-579.
   • Spiros Bougheas, 2012. "Pooling, Tranching and Credit Expansion," CESifo Working Paper Series 3859, CESifo.
   • Spiros Bougheas, 2012. "Pooling, Tranching and Credit Expansion," Discussion Papers 12/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
2. Pagès, Henri, 2013. "Bank monitoring incentives and optimal ABS," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 30-54.
   • Pagès, H., 2012. "Bank monitoring incentives and optimal ABS," Working papers 377, Banque de France.
3. Götze, Tobias & Gürtler, Marc, 2020. "Risk transfer and moral hazard: An examination on the market for insurance-linked securities," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 758-777.
4. Bougheas, Spiros & Worrall, Tim, 2019. "Portfolio sales and signaling," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 182-191.
   • Spiros Bougheas & Tim Worrall, 2017. "Portfolio Sales and Signaling," Discussion Papers 2017/01, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
   • Spiros Bougheas & Tim Worrall, 2017. "Portfolio Sales and Signaling," CESifo Working Paper Series 6354, CESifo.
5. Krahnen, Jan-Pieter & Wilde, Christian, 2022. "Skin-in-the-game in ABS transactions: A critical review of policy options," Journal of Financial Stability, Elsevier, vol. 60(C).
6. Malekan, Sara & Dionne, Georges, 2014. "Securitization and optimal retention under moral hazard," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 74-85.
   • Sara Malekan & Georges Dionne, 2012. "Securitization and Optimal Retention under Moral Hazard," Cahiers de recherche 1221, CIRPEE.
   • Malekan, Sara & Dionne, Georges, 2012. "Securitization and optimal retention under moral hazard," Working Papers 12-6, HEC Montreal, Canada Research Chair in Risk Management.
7. Kuncl, Martin, 2019. "Securitization under asymmetric information over the business cycle," European Economic Review, Elsevier, vol. 111(C), pages 237-256.
   • Martin Kuncl, 2014. "Securitization under Asymmetric Information over the Business Cycle," CERGE-EI Working Papers wp506, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
   • Martin Kuncl, 2015. "Securitization under Asymmetric Information over the Business Cycle," Staff Working Papers 15-9, Bank of Canada.
8. Guo, Guixia & Wu, Ho-Mou, 2014. "A study on risk retention regulation in asset securitization process," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 61-71.
9. Gorton, Gary & Metrick, Andrew, 2013. "Securitization," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1-70, Elsevier.
   • Gary Gorton & Andrew Metrick, 2012. "Securitization," NBER Working Papers 18611, National Bureau of Economic Research, Inc.
10. Cerrato, Mario, 2010. "The Rise and Fall of the ABS Market," SIRE Discussion Papers 2010-105, Scottish Institute for Research in Economics (SIRE).
    • Mario Cerrato, 2010. "The rise and fall of the ABS market," Working Papers 2010_28, Business School - Economics, University of Glasgow.
11. Gehrig, Thomas & Bester, Helmut & ,, 2012. "Loan Sales and Screening Incentives," CEPR Discussion Papers 9084, C.E.P.R. Discussion Papers.
12. Pagès, H., 2009. "Bank incentives and optimal CDOs," Working papers 253, Banque de France.
    • Pagès, H., 2012. "Bank monitoring incentives and optimal ABS," Working papers 377, Banque de France.
13. Meijer, L.L.J. & Huijben, J.C.C.M. & van Boxstael, A. & Romme, A.G.L., 2019. "Barriers and drivers for technology commercialization by SMEs in the Dutch sustainable energy sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 112(C), pages 114-126.
14. Cerasi, Vittoria & Rochet, Jean-Charles, 2014. "Rethinking the regulatory treatment of securitization," Journal of Financial Stability, Elsevier, vol. 10(C), pages 20-31.
15. Kiff, John & Kisser, Michael, 2014. "A shot at regulating securitization," Journal of Financial Stability, Elsevier, vol. 10(C), pages 32-49.
    • Kiff, John & Kisser, Michael, 2011. "A Shot at Regulating Securitization," Discussion Papers 2011/7, Norwegian School of Economics, Department of Business and Management Science.
16. Sarkisyan, Anna & Casu, Barbara, 2013. "Retained interests in securitisations and implications for bank solvency," Working Paper Series 1538, European Central Bank.
17. Benjamin Hébert, 2018. "Moral Hazard and the Optimality of Debt," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2214-2252.
    • Benjamin Hébert, 2014. "Moral Hazard and the Optimality of Debt," Working Paper 145746, Harvard University OpenScholar.
    • Hebert, Benjamin, 2015. "Moral Hazard and the Optimality of Debt," Research Papers 3455, Stanford University, Graduate School of Business.
18. Bobek, Andreas & Bohm, Thomas & Neuner, Stefan & Paintner, Sandra & Schmeußer, Stefanie & Waldvogel, Felix, 2011. "Ökonomische Analyse europäischer Bankenregulierung: Verbriefung und Interbankenmarkt im Fokus," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-01, University of Bayreuth, Chair of Finance and Banking.
19. Latino, Carmelo & Pelizzon, Loriana & Riedel, Max, 2023. "How to green the European Auto ABS market? A literature survey," SAFE Working Paper Series 391, Leibniz Institute for Financial Research SAFE.
20. Gürtler, Marc & Hibbeln, Martin, 2012. "How smart are investors after the subprime mortgage crisis? Evidence from the securitization market," Working Papers IF39V1, Technische Universität Braunschweig, Institute of Finance.
21. Ingo Fender & Janet Mitchell, 2009. "The future of securitisation: how to align incentives," BIS Quarterly Review, Bank for International Settlements, September.
22. Allen B Frankel, 2009. "The risk of relying on reputational capital: a case study of the 2007 failure of New Century Financial," BIS Working Papers 294, Bank for International Settlements.
23. Bikki Jaggi & James P. Winder & Cheng-Few Lee, 2010. "Is There a Future for Fair Value Accounting After the 2008–2009 Financial Crisis?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 469-493.
24. Rose Neng Lai & Robert Order, 2014. "Securitization, Risk-Taking and the Option to Change Strategy," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 343-362, June.
25. International Monetary Fund, 2011. "Germany: Technical Note on the Future of German Mortgage-Backed Covered Bond (PF and Brief) and Securitization Markets," IMF Staff Country Reports 2011/369, International Monetary Fund.
26. Georges Dionne & Sara Malekan, 2017. "Optimal Form of Retention for Securitized Loans under Moral Hazard," Risks, MDPI, vol. 5(4), pages 1-13, October.
    • Dionne, Georges & Malekan, Sara, 2015. "Optimal form of retention for securitized loans under moral hazard," Working Papers 15-4, HEC Montreal, Canada Research Chair in Risk Management.
27. Scholz, Julia, 2011. "Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs," Discussion Papers in Business Administration 12144, University of Munich, Munich School of Management.