The Pooling and Tranching of Securities: A Model of Informed Intermediation

By Peter M. DeMarzo. 2005

672 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35cd9f2a67cd0ac8a8b88a17403de3406cbb1449

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Citations in the corpus

Did Securitization Affect the Cost of Corporate Debt (2011, positive): “First, DeMarzo (2005) suggests that securitization reduces asymmetric information problems about the quality of individual loans by providing the purchaser with a diversified pool of loans from different issuers, presumably having a lower information asymmetry problem than any individual loan would ”
Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy (2010, background): “…use securitization to reduce their regulatory capital requirements spuriously (e.g. James, 1988; Flannery, 1989 and 1994; Donahoo and Shaffer, 1991; DeMarzo, 2005; Karaoglu, 2005; Jackson et al., 1999; Jones, 2000; Calomiris and Mason, 2004; Jobst, 2005; Ambrose, Lacour-Little and Sanders, 2005;…”
The Role of Financial Markets and Innovation in Productivity and Growth in Europe (2007, background): “Moreover, the prices of assetbacked or mortgage-backed securities convey additional information to the market (see for example DeMarzo, 2005).”
A Liquidity-Based Theory of Closed-End Funds (2009, background): “7 For a discussion of asymmetric information and illiquidity, see Glaeser and Kallal (1997), DeMarzo (2005) , and Eisfeldt (2004).”
Overheating in Credit Markets: Origins, Measurement, and Policy Responses (2013, background): “See, for example, Gorton, and Pennacchi (1990), DeMarzo and Duffie (1999), and DeMarzo (2005).”
Finding a Good Price in Opaque Over-the-Counter Markets (2012, positive): “Both market structures involve creating liquidity by “pooling and tranching” (DeMarzo, 2005).”
Optimal securitization with moral hazard (2012, positive): “We model this feature by assuming that the underwriter is impatient, as in DeMarzo and Duffie (1999), so that the underwriter has a higher discount rate than the investors.(2) Investors do not observe the actions of the underwriter, however the timing of mortgage defaults is publicly observable and ”
Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets. NBB Working Paper Nr.71, July 2005 (2005, methodology): “DeMarzo (2004) uses an extended version of the model of DeMarzo and Duffie (1999) to address this question.”
Asymmetric Information, Adverse Selection, and the Pricing of CMBS (2011, positive): “4 Diamond, 1993; Winton, 1995; DeMarzo and Duffie, 1999; DeMarzo, 2005; Gan and Riddiough 2008). However, empirical evidence of “lemons effects” is limited. This paper, by way of application to the market for CMBS, presents empirical evidence consistent with the “market for lemons ” theory. Our empi”
Is the Market for Mortgage-Backed Securities a Market for Lemons? (2009, neutral): “16 The voluminous and important signaling literature includes Leland and Pyle (1977); Myers and Majluf (1984); Allen and Gale (1988); DeMarzo and Duffie (1995); and DeMarzo (2005), among many others.”
Adverse selection in mortgage securitization (2012, neutral): “Examples include Leland and Pyle (1977), Stiglitz and Weiss (1981), Myers and Majluf (1984), Dunn and Spatt (1985), John and Williams (1985), Chari and Jagannathan (1989), Brueckner (1994), Carlstrom and Samolyk (1995), Posey and”