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"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 for outside investors. Consistent with such recourse, we find that banks with more exposure to conduits had lower stock returns at the start of the financial crisis; that during the first year of the crisis, asset-backed commercial paper spreads increased and issuance fell, especially for conduits with weaker credit guarantees and riskier banks; and that losses from conduits mostly remained with banks rather than outside investors. These results suggest that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector while reducing their capital requirements"--National Bureau of Economic Research web site.
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Securitization without risk transfer
2010, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Title from PDF file as viewed on 3/16/2010.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created March 27, 2010
- 4 revisions
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September 25, 2020 | Edited by MARC Bot | import existing book |
February 9, 2019 | Edited by MARC Bot | import existing book |
August 4, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
March 27, 2010 | Created by ImportBot | Imported from Library of Congress MARC record. |