| Status | 已發表Published |
| Credit Risk Transfers: Optimal Structuring, Risk-Taking and Risk-Retention | |
Lai, R. N.  ; Van Order, R.
| |
| 2020 | |
| Source Publication | 55th American Real Estate And Urban Economics Association (AREUEA) Annual Conference
 |
| Abstract | Fannie Mae and Freddie Mac have undertaken Credit Risk Transfer (CRT) programs that sell off credit risk. The most common structures used are similar to synthetic CDOs. They are subject to moral hazard from the managers/sellers who choose their content. We analyze manager incentives, develop a notion of efficient structures and compare different incentive structures for different risk transfer structures. Sample deals are similar to our efficient structures, which have managers holding a “vertical slice” of the deal. However, they also differ in ways that suggest retaining some of the subsidy from their guarantees. The problems of evaluating these structures from a public policy perspective are the same problems as those in evaluating their traditional risks. |
| Keyword | Risk-taking Securitization Contingent Convertible Bonds Management Incentives |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 53800 |
| Document Type | Conference paper |
| Collection | HONOURS COLLEGE |
| Corresponding Author | Lai, R. N. |
| Recommended Citation GB/T 7714 | Lai, R. N.,Van Order, R.. Credit Risk Transfers: Optimal Structuring, Risk-Taking and Risk-Retention[C], 2020. |
| APA | Lai, R. N.., & Van Order, R. (2020). Credit Risk Transfers: Optimal Structuring, Risk-Taking and Risk-Retention. 55th American Real Estate And Urban Economics Association (AREUEA) Annual Conference. |
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