Asymmetric information in securitization: An empirical assessment

被引：27

作者：

Albertazzi, Ugo ^{[1
,2
]}

Eramo, Ginette ^{[1
]}

Gambacorta, Leonardo ^{[3
]}

Salleo, Carmelo ^{[2
]}

机构：

[1] Bank Italy, I-00184 Rome, Italy

[2] European Cent Bank, D-2960311 Frankfurt, Germany

[3] Bank Int Settlements, Monetary & Econ Dept, CH-4002 Basel, Switzerland

来源：

JOURNAL OF MONETARY ECONOMICS | 2015年 / 71卷

关键词：

Securitization; Asymmetric information; Reputation; SYNDICATED LOANS; INSURANCE; DEBT; DEFAULT; SALES; BANKS; RISK;

D O I：

10.1016/j.jmoneco.2014.11.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their reputation for not selling lemons. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：33 / 49

页数：17

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