Correlation, price discovery and co-movement of asset-backed securities and equity
نویسندگان
چکیده
منابع مشابه
Correlation , Price Discovery and Co - movement of ABS and Equity
Asset-backed securitization (ABS) has become a viable and increasingly attractive risk management and refinancing method either as a standalone form of structured finance or as securitized debt in Collateralized Debt Obligations (CDO). However, the absence of industry standardization has prevented rising investment demand from translating into market liquidity comparable to traditional fixed in...
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The securitization of financial assets is a form of structured finance, developed by the U.S. banking world in the early 1980’s (in Mortgage-Backed-Securities format) in order to reduce regulatory capital requirements by removing and transferring risk from the balance sheet to other parties. Today, virtually any form of debt obligations and receivables has been securitized, resulting in an appr...
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In recent years, one area of growing concern in corporate governance is the accounting and transfer of risk using special purpose entities (or trusts). Such entities are used widely in issuing asset-backed securities. This paper provides an overview of the asset-backed securities market, and discusses the common structures used in this market to transform the risks associated with the underlyin...
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February 2000 www.dcrco.com n recent years, collateralized debt obligations (CDOs) have emerged as one of the largest and fastest growing sectors of the asset-backed securities (ABS) market. Due to increasing use of bond and loan collateral within one transaction, the term collateralized debt obligation is becoming more popular, and the terms collateralized bond obligation (CBO) and collaterali...
متن کاملThe Role of Default and Asset-Backed Securities for Sharing Idiosyncratic Risk
I develop a highly tractable, heterogeneous agent, incomplete markets dynamic stochastic general equilibrium model with collateralized lending and asset-backed securities. Agents who face aggregate and idiosyncratic investment risk can borrow by putting up their investments as collateral. Borrowers can default at any time, with the only penalty being the confiscation of collateral. The debt con...
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ژورنال
عنوان ژورنال: Derivatives Use, Trading & Regulation
سال: 2006
ISSN: 1357-0927,1747-4426
DOI: 10.1057/palgrave.dutr.1840043