Maturity Transformation without Maturity Mismatch and Bank Panics

2002 ◽  
Author(s):  
Juha-Pekka Niinimaki
Keyword(s):  
Maturity Mismatch ◽  
Bank Panics

scholarly journals Profit and Risk under Subprime Mortgage Securitization

2011 ◽  
Vol 2011 ◽  
pp. 1-64 ◽  
Author(s):  
M. A. Petersen ◽  
J. Mukuddem-Petersen ◽  
B. De Waal ◽  
M. C. Senosi ◽  
S. Thomas
Keyword(s):  
Risk Mitigation ◽  
Collateralized Debt Obligations ◽  
Mortgage Loans ◽  
Main Hypothesis ◽  
Subprime Mortgage ◽  
Important Indicator ◽  
Residential Mortgage ◽  
Maturity Mismatch ◽  
Mortgage Securitization ◽  
Collateralized Debt

We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs). Our deliberations focus on profit and risk in a discrete-time framework as they are related to RMBSs and RMBS CDOs. In this regard, profit is known to be an important indicator of financial health. With regard to risk, we discuss credit (including counterparty and default), market (including interest rate, price, and liquidity), operational (including house appraisal, valuation, and compensation), tranching (including maturity mismatch and synthetic) and systemic (including maturity transformation) risks. Also, we consider certain aspects of Basel regulation when securitization is taken into account. The main hypothesis of this paper is that the SMC was mainly caused by the intricacy and design of subprime mortgage securitization that led to information (asymmetry, contagion, inefficiency, and loss) problems, valuation opaqueness and ineffective risk mitigation. The aforementioned hypothesis is verified in a theoretical- and numerical-quantitative context and is illustrated via several examples.

Liquidity Risk and Bank Panics

2012 ◽  
pp. 225-244
Author(s):  
Bruce Champ ◽  
Scott Freeman ◽  
Joseph Haslag
Keyword(s):  
Liquidity Risk ◽  
Bank Panics

Static hedging under maturity mismatch

2014 ◽  
Vol 19 (3) ◽  
pp. 509-539
Author(s):  
Philipp A. Mayer ◽  
Natalie Packham ◽  
Wolfgang M. Schmidt
Keyword(s):  
Static Hedging ◽  
Maturity Mismatch
Sign in / Sign up

Export Citation Format

Share Document