| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8769 |
| DP8769 Securitization Without Risk Transfer | |
| Viral Acharya; Philipp Schnabl; Gustavo Suarez | |
| 发表日期 | 2012 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We analyze asset-backed commercial paper conduits, which experienced a shadow-banking "run" and played a central role in the early phase of the financial crisis of 2007-09. We document that commercial banks set up conduits to securitize assets worth $1.3 trillion while insuring the newly securitized assets using explicit guarantees. We show that regulatory arbitrage was the main motive behind setting up conduits: the guarantees were structured so as to reduce regulatory capital requirements, more so by banks with less capital, and while still providing recourse to bank balance sheets for outside investors. Consistent with such recourse, we find that conduits provided little risk transfer during the "run": losses from conduits remained with banks rather than outside investors and banks with more exposure to conduits had lower stock returns. |
| 主题 | Financial Economics |
| 关键词 | Asset-backed commercial paper (abcp) Shadow banking Regulatory arbitrage Bank capital Conduits Structured investment vehicle (siv) |
| URL | https://cepr.org/publications/dp8769 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537605 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Philipp Schnabl,Gustavo Suarez. DP8769 Securitization Without Risk Transfer. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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