| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7507
|
| DP7507 The Myth of Financial Innovation and the Great Moderation |
| Wouter Den Haan; Vincent Sterk
|
| 发表日期 | 2009-10-18
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of the portfolio; the originator holds the equity tranche of a structured finance transaction; the originator holds the mezzanine tranche, rather than the equity tranche. These mechanisms will result in differing levels of screening, and the differences arise from varying sensitivities to a systematic risk factor. Equity tranche retention is not always the most effective mechanism, and the equity tranche can be dominated by either a vertical slice or a mezzanine tranche if the probability of a downturn is likely and if the equity tranche is likely to be depleted in a downturn. If the choice of how much and what form to retain is left up to the originator, the retention mechanism may lead to low screening effort, suggesting a potential rationale for government intervention. |
| 主题 | Financial Economics
|
| 关键词 | Borrower screening
Retention requirements
Securitisation
Tranching
|
| URL | https://cepr.org/publications/dp7507
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536343
|
推荐引用方式
GB/T 7714 |
Wouter Den Haan,Vincent Sterk. DP7507 The Myth of Financial Innovation and the Great Moderation. 2009.
|
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