| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15730 |
| 来源ID | Working Paper 15730 |
| Securitization without risk transfer | |
| Viral V. Acharya; Philipp Schnabl; Gustavo Suarez | |
| 发表日期 | 2010-02-11 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We analyze asset-backed commercial paper conduits which 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 while insuring the newly securitized assets using credit guarantees. The credit guarantees were structured to reduce bank capital requirements, while providing recourse to bank balance sheets for outside investors. Consistent with such recourse, we find that banks with more exposure to conduits had lower stock returns at the start of the financial crisis; that during the first year of the crisis, asset-backed commercial paper spreads increased and issuance fell, especially for conduits with weaker credit guarantees and riskier banks; and that losses from conduits mostly remained with banks rather than outside investors. These results suggest that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector while reducing their capital requirements. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w15730 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573404 |
| 推荐引用方式 GB/T 7714 | Viral V. Acharya,Philipp Schnabl,Gustavo Suarez. Securitization without risk transfer. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15730.pdf（359KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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