94 research outputs found
Securitization and Lending Standards: Evidence from the Wholesale Loan Market
securitization;bank risk taking;syndicated loans;financial crisis
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Bank reputation and securitization quality: European evidence
JEL Classification: G21; G28.We examine the link between issuer bank reputation and the performance of mortgage-backed securities (MBS) in the European market. We find that MBS sold by reputable issuer banks are collateralised by higher quality asset pools with lower delinquency rates and are less likely to be downgraded. However, during boom periods – characterized by declining credit standards, MBS originated by reputable issuer banks tend to be collateralised by lower quality assets, compared to normal periods
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Do reputable issuers provide better-quality securitizations?
JEL Classification: G21; G24; G28We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that, overall, MBS sold by reputable issuers are collateralised by higher quality asset pools which have lower delinquency rates and are less likely to be downgraded. However, as credit standards declined during the boom period of 2005-2007, asset pools securitized by reputable issuers were of worse quality compared to those securitized by less reputable issuers. Therefore, reputation as a self-disciplining mechanism failed to incentivise the production of high quality securities during the credit boom
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The impact of regulatory changes on rating behaviour
JEL classification: G21; G28.We examine rating behaviour after the introduction of new regulations regarding Credit Rating Agencies (CRAs) in the European securitisation market. Employing a large sample of 12,469 ABS tranches issued between 1998 and 2018, we examine the information content of yield spreads of ABS at the issuance and compare the pre- and post-GFC periods. We find that the regulatory changes have been effective in tackling conflicts of interest between issuers and CRAs in securitisation. Rating catering seems to have disappeared in the post-GFC period. Yet we see limited effectiveness on rating shopping. It follows that rating over-reliance might be an issue, especially for investors of higher-quality ABS.The authors declare that they have no conflict of interest or competing interests
Self-Similar Interpolation in Quantum Mechanics
An approach is developed for constructing simple analytical formulae
accurately approximating solutions to eigenvalue problems of quantum mechanics.
This approach is based on self-similar approximation theory. In order to derive
interpolation formulae valid in the whole range of parameters of considered
physical quantities, the self-similar renormalization procedure is complimented
here by boundary conditions which define control functions guaranteeing correct
asymptotic behaviour in the vicinity of boundary points. To emphasize the
generality of the approach, it is illustrated by different problems that are
typical for quantum mechanics, such as anharmonic oscillators, double-well
potentials, and quasiresonance models with quasistationary states. In addition,
the nonlinear Schr\"odinger equation is considered, for which both eigenvalues
and wave functions are constructed.Comment: 1 file, 30 pages, RevTex, no figure
The Fourteenth Data Release of the Sloan Digital Sky Survey: First Spectroscopic Data from the extended Baryon Oscillation Spectroscopic Survey and from the second phase of the Apache Point Observatory Galactic Evolution Experiment
The fourth generation of the Sloan Digital Sky Survey (SDSS-IV) has been in
operation since July 2014. This paper describes the second data release from
this phase, and the fourteenth from SDSS overall (making this, Data Release
Fourteen or DR14). This release makes public data taken by SDSS-IV in its first
two years of operation (July 2014-2016). Like all previous SDSS releases, DR14
is cumulative, including the most recent reductions and calibrations of all
data taken by SDSS since the first phase began operations in 2000. New in DR14
is the first public release of data from the extended Baryon Oscillation
Spectroscopic Survey (eBOSS); the first data from the second phase of the
Apache Point Observatory (APO) Galactic Evolution Experiment (APOGEE-2),
including stellar parameter estimates from an innovative data driven machine
learning algorithm known as "The Cannon"; and almost twice as many data cubes
from the Mapping Nearby Galaxies at APO (MaNGA) survey as were in the previous
release (N = 2812 in total). This paper describes the location and format of
the publicly available data from SDSS-IV surveys. We provide references to the
important technical papers describing how these data have been taken (both
targeting and observation details) and processed for scientific use. The SDSS
website (www.sdss.org) has been updated for this release, and provides links to
data downloads, as well as tutorials and examples of data use. SDSS-IV is
planning to continue to collect astronomical data until 2020, and will be
followed by SDSS-V.Comment: SDSS-IV collaboration alphabetical author data release paper. DR14
happened on 31st July 2017. 19 pages, 5 figures. Accepted by ApJS on 28th Nov
2017 (this is the "post-print" and "post-proofs" version; minor corrections
only from v1, and most of errors found in proofs corrected
Sloan Digital Sky Survey IV: Mapping the Milky Way, Nearby Galaxies, and the Distant Universe
We describe the Sloan Digital Sky Survey IV (SDSS-IV), a project encompassing three major spectroscopic programs. The Apache Point Observatory Galactic Evolution Experiment 2 (APOGEE-2) is observing hundreds of thousands of Milky Way stars at high resolution and high signal-to-noise ratios in the near-infrared. The Mapping Nearby Galaxies at Apache Point Observatory (MaNGA) survey is obtaining spatially resolved spectroscopy for thousands of nearby galaxies (median ). The extended Baryon Oscillation Spectroscopic Survey (eBOSS) is mapping the galaxy, quasar, and neutral gas distributions between and 3.5 to constrain cosmology using baryon acoustic oscillations, redshift space distortions, and the shape of the power spectrum. Within eBOSS, we are conducting two major subprograms: the SPectroscopic IDentification of eROSITA Sources (SPIDERS), investigating X-ray AGNs and galaxies in X-ray clusters, and the Time Domain Spectroscopic Survey (TDSS), obtaining spectra of variable sources. All programs use the 2.5 m Sloan Foundation Telescope at the Apache Point Observatory; observations there began in Summer 2014. APOGEE-2 also operates a second near-infrared spectrograph at the 2.5 m du Pont Telescope at Las Campanas Observatory, with observations beginning in early 2017. Observations at both facilities are scheduled to continue through 2020. In keeping with previous SDSS policy, SDSS-IV provides regularly scheduled public data releases; the first one, Data Release 13, was made available in 2016 July
Sloan Digital Sky Survey IV: Mapping the Milky Way, Nearby Galaxies, and the Distant Universe
We describe the Sloan Digital Sky Survey IV (SDSS-IV), a project encompassing three major spectroscopic programs. The Apache Point Observatory Galactic Evolution Experiment 2 (APOGEE-2) is observing hundreds of thousands of Milky Way stars at high resolution and high signal-to-noise ratios in the near-infrared. The Mapping Nearby Galaxies at Apache Point Observatory (MaNGA) survey is obtaining spatially resolved spectroscopy for thousands of nearby galaxies (median ). The extended Baryon Oscillation Spectroscopic Survey (eBOSS) is mapping the galaxy, quasar, and neutral gas distributions between and 3.5 to constrain cosmology using baryon acoustic oscillations, redshift space distortions, and the shape of the power spectrum. Within eBOSS, we are conducting two major subprograms: the SPectroscopic IDentification of eROSITA Sources (SPIDERS), investigating X-ray AGNs and galaxies in X-ray clusters, and the Time Domain Spectroscopic Survey (TDSS), obtaining spectra of variable sources. All programs use the 2.5 m Sloan Foundation Telescope at the Apache Point Observatory; observations there began in Summer 2014. APOGEE-2 also operates a second near-infrared spectrograph at the 2.5 m du Pont Telescope at Las Campanas Observatory, with observations beginning in early 2017. Observations at both facilities are scheduled to continue through 2020. In keeping with previous SDSS policy, SDSS-IV provides regularly scheduled public data releases; the first one, Data Release 13, was made available in 2016 July
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