Characteristics of Securitizations that Determine Issuers' Retention of the Risks of the Securitized Assets
By Wei-Tzu Chen, Chi-chun Liu, Stephen G. Ryan. 2008
120 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6b6efec40b994a88447fced66d230f1adfe197f5
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Citations in the corpus
- Accounting in and for the Subprime Crisis (2008, unknown): “Chen et al. (2008) find that attributes of these securitizations-most importantly, banks' retention of credit-enhancing interest-only strips, a type of residual interest-are significantly associated with banks' unsystematic risk.”
- Linear valuation without OLS: the Theil-Sen estimation approach (2014, unknown): “…have not left much of a trace in the published accounting literature; the main alternative to OLS has been LAD.18 Parts of this research do not relate to valuation settings (e.g., Chen et al. 2008; Choi et al. 2008), but at least two papers do—Basu and Markov (2004) and Hughes et al. (2008).”
- Influential Observations and Inference in Accounting Research (2019, unknown): “Chen et al. (2008): “To mitigate the effect of outliers, we winsorize observations in the outside l% of each tail of each variable in Equation (1), excepting the lower tail of the variables that are bounded below by zero and have some zero observations.”
- Securitization and Bank Performance (2013, background): “Chen et al. (2008) find that risk retention by banks varies by type of securitization and is relatively low in the case of mortgages, while relatively high for revolving loans such as credit card receivables.”
- Financial Accounting in the Banking Industry: A Review of the Empirical Literature (2014, unknown): “with lower capital have greater capital management incentives, Moyer (1990), Collins et al. (1995) and Beatty et al.”