scholarly journals Do risk-adjusted pricing and the new Basel capital accord reinforce the credit cycle?

2001 ◽  
Vol 15 (2) ◽  
pp. 141-147
Author(s):  
Manuel Ammann
Keyword(s):  
New Basel Capital Accord ◽  
Credit Cycle

Systematic credit cycle risk of financial collaterals: modeling and evidence

2006 ◽  
Vol 9 (1) ◽  
pp. 99-146
Author(s):  
Marc Gürtler ◽  
Dirk Heithecker
Keyword(s):  
Credit Cycle

Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets

2013 ◽  
Author(s):  
Christoph Riedel ◽  
Kannan S. Thuraisamy ◽  
Niklas F. Wagner
Keyword(s):  
Sovereign Debt ◽  
Debt Markets ◽  
Credit Cycle ◽  
Cycle Dependent

The Non-Bank Credit Cycle

2018 ◽  
Author(s):  
Esti Kemp ◽  
Rene van Stralen ◽  
Alexandros Vardoulakis ◽  
Peter Wierts
Keyword(s):  
Bank Credit ◽  
Credit Cycle

COVID-19 And The Credit Cycle

2020 ◽  
Author(s):  
Edward I. Altman
Keyword(s):  
Credit Cycle

scholarly journals Do investors value frequent issuers in securitization?

2021 ◽  
Author(s):  
Solomon Y. Deku ◽  
Alper Kara ◽  
Nodirbek Karimov
Keyword(s):  
Financial Crisis ◽  
Foreign Banks ◽  
Yield Spread ◽  
Information Asymmetries ◽  
Crisis Period ◽  
Credit Quality ◽  
Initial Yield ◽  
Mortgage Backed Securities ◽  
Lending Standards ◽  
Credit Cycle

AbstractWe assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

WICKSELL'S INFLATIONARY CREDIT CYCLE

1993 ◽  
Vol 44 (2) ◽  
pp. 146-166 ◽  
Author(s):  
Michael J. Gootzeit
Keyword(s):  
Credit Cycle

Credit cycle dependent spread determinants in emerging sovereign debt markets

2013 ◽  
Vol 17 ◽  
pp. 209-223 ◽  
Author(s):  
Christoph Riedel ◽  
Kannan S. Thuraisamy ◽  
Niklas Wagner
Keyword(s):  
Sovereign Debt ◽  
Debt Markets ◽  
Credit Cycle ◽  
Cycle Dependent
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