Securitization Post-Enron

Introducing the Enron Corpus

A large set of email messages, the Enron corpus, was made public during the legal investigation concerning the Enron corporation. This dataset, along with a thorough explanation of its origin, is available at http://www-2.cs.cmu.edu/~enron/. This paper provides a brief introduction and analysis of the dataset. The raw Enron corpus contains 619,446 messages belonging to 158 users. We cleaned the...

Ethical Erosion at Enron

Learning from ENRON.

By now, nearly everyone in the academic world will have heard of ENRON and other similar scandals that are shaking the financial sector. Some clever bookkeeping manoeuvres put a needed gloss on the company’s accounts that helped to boost their stocks to new heights. But when examined critically, a rather different financial situation emerged, which was followed by a sharp dive in ENRON’s share ...

Securitization without risk transfer

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 f...

The Securitization Flash Flood

What caused the flood of securitized products in the years immediately preceding the crisis? This paper presents evidence that demand for safe collateral in repo markets made it attractive for financial institutions to issue securitized products. Using the 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA) as a natural experiment that shocked the demand for collateral, this p...