The influence of sponsor, servicer, and underwriter characteristics on RMBS performance

Abstract

Securitization, Information asymmetries, Reputation, G21, G24, G32,

Do Reputable Issuers Provide Better-Quality Securitizations?

“…Initially, we compute the average delinquency rates in the third and fourth year after issuance. Subsequently, as suggested by Guettler et al (2011), we compute the average delinquency rates over the first three and four years to obtain a summary measure that captures the delinquencies within the initial years as well.…”

Bank reputation and securitization quality: European evidence

“…Market share-based measures have been widely used in the existing literature as empirical proxies for reputation (seeFang, 2005;Guettler et al, 2011).3 Rather than the term Business Cycle we use Financial Cycle, which refers to the self-reinforcing interactions between perceptions of value and risk, risk-taking, and financing constraints within an economy (Borio 2014).4 For example,Fabozzi and Vink (2012) find that credit ratings explain 74% of the variation in the yields of UK RMBS.…”