Optimal Design and Governance of Asset-Backed Securities

Riddiough, Timothy J.

doi:10.1006/jfin.1997.0214

Cited by 148 publications

(90 citation statements)

References 21 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Longhofer and Santos (2000) 4 Other authors have also studied seniority from the point of view of optimal security design. See for example, Berkovitch and Kim (1990), Hart and Moore (1995), Park (1995), Rajan and Winton (1995), Repullo and Suarez (1998), Riddiough (1995).…”

Section: Related Workmentioning

confidence: 99%

Conflicts in Bankruptcy and the Sequence of Debt Issues

2009

View full text Add to dashboard Cite

Section: Related Workmentioning

confidence: 99%

Conflicts in Bankruptcy and the Sequence of Debt Issues

2009

View full text Add to dashboard Cite

“…This should raise the sales revenue. Riddiough (1997) extends this reasoning by showing that loan bundling allows for asset pool diversification, which softens information asymmetries.…”

Section: Literature Reviewmentioning

confidence: 65%

Loss Allocation in Securitization Transactions

Franke¹,

Herrmann²,

Weber³

2012

J. Financ. Quant. Anal.

View full text Add to dashboard Cite

This paper analyzes the loss allocation to first, second, and third loss positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher first loss position, but, in a synthetic transaction, a smaller third loss position. The share of expected default losses, borne by the first loss position, is largely independent of asset pool quality but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin's Q prefer synthetic transactions.

show abstract

“…Riddiough (1997) analyzes the design and governance of risky asset-backed securities with asymmetric information and liquidation motives. DeMarzo and Duffie (1999) assert that downward-sloping demand curve might exist due to the issuer's private information, and investigated optimal security design based on a tradeoff between retention costs and liquidity costs.…”

Section: Related Literaturementioning

confidence: 99%

Securitization under Asymmetric Information and Risk Retention Requirement

Jeon¹,

Nishihara²

2014

JFE

View full text Add to dashboard Cite

We address a three-period model of financial intermediaries that involves securitization of risky loan assets and asymmetric information. We show that the risk retention requirement with a fixed ratio, stipulated by the Dodd-Frank Act, might induce losses of social welfare in the sense that a bank might not utilize profitable investment opportunities due to the regulation, which leads to a downward jump in social welfare. We present various structures of social welfare with respect to the level of 'skin in the game', and clarify the necessity of countercyclical regulation by verifying that the social losses caused by current regulation become more severe during a recession. Furthermore, we verify how the financial market becomes volatile through securitization and leverage. JEL Classifications: G21, G24, G28

show abstract

Optimal Design and Governance of Asset-Backed Securities

Cited by 148 publications

References 21 publications

Conflicts in Bankruptcy and the Sequence of Debt Issues

Conflicts in Bankruptcy and the Sequence of Debt Issues

Loss Allocation in Securitization Transactions

Securitization under Asymmetric Information and Risk Retention Requirement

Contact Info

Product

Resources

About