کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1000147 1481541 2014 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A shot at regulating securitization
ترجمه فارسی عنوان
یک شوت در تنظیم مقرراتزدایی
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی

In order to incentivize stronger issuer due diligence effort, European and U.S. authorities are amending securitization-related regulations to force issuers to retain an economic interest in the securitization products they issue. This paper contributes to the process by exploring the economics of equity and mezzanine tranche retention in the context of systemic risk, moral hazard, accounting frictions and funding distortions. It shows that loan screening activity is maximized when the loan originating bank retains the equity tranche. However, in case capital structure irrelevance does not hold a profit maximizing bank is likely to favor retention of the less risky mezzanine tranche. From a regulator's perspective this is a problem because the implied loan screening activity is substantially lower in this case. Policy attention is even more warranted if performing due diligence is costly, the economic outlook is positive or loan profitability is high.


► Paper investigates the economics of securitization and tranche retention.
► Focus on real-life distortions such as moral hazard, systemic risk, and accounting frictions.
► Equity tranche retention maximizes loan screening.
► Funding distortions make mezzanine tranche retention more likely.
► Favorable economic outlook and high profitability increase distortion.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 10, February 2014, Pages 32–49
نویسندگان
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