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dc.contributor.authorBougheas, Spirosen_US
dc.date.accessioned2012-08-03en_US
dc.date.accessioned2012-08-20T10:37:01Z-
dc.date.available2012-08-20T10:37:01Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/61009-
dc.description.abstractTraditionally banks have used securitization for expanding credit and thus their profitability. It has been well documented that, at least before the 2008 crisis, many banks were keeping a high proportion of the securities that they created on their own balance-sheets. Those securities retained included both the high-risk equity tranche and the low-risk AAA-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the model retained the equity tranche as skin in the game in order to mitigate moral hazard concerns while they post the low-risk tranche as collateral in order to take advantage of the yield curve. When variations in loan quality are introduced the predicted retention strategies match well those found in empirical studies.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Monetary Policy and International Finance 3859en_US
dc.subject.jelG21en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.subject.keywordsecuritizationen_US
dc.subject.keywordtranchingen_US
dc.subject.keywordcredit expansionen_US
dc.subject.stwBanken_US
dc.subject.stwSecuritizationen_US
dc.subject.stwKreditgeschäften_US
dc.subject.stwTheorieen_US
dc.titlePooling, tranching and credit expansionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn720588731en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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