UM  > 工商管理學院
Securitization, Risk-Taking and the Optionto Change Strategy
Rose Neng Lai1; Robert Van Orde2
2014-03-07
Source PublicationREAL ESTATE ECONOMICS
ISSN1540-6229
Volume42Issue:2Pages:343-362
Abstract

This article models the riskiness of structured securitization deals. The dealsare put together by “banks,” which can exercise strategic options over the riskput into the deals. The banks face a trade-off between the benefits of risk-taking now and future franchise benefits if the deal pays off. The key insight isa convex relationship between the value of the bank’s equity position and therisk in the deal. Although there is a continuum of possible risk, banks chooseeither the highest or lowest levels of risk open to them. Changes in strategy arediscontinuous and unpredictable; a history of low risk-taking may be a preludeto increased risk-taking later. Competition, to the extent of reducing franchisevalue, can lead to more risk-taking, as can more information in the market. Themodel provides insights into the risk-taking that led up to the Great Recessionand to institutions that are “Too Big to Fail.”

DOIhttps://doi.org/10.1111/1540-6229.12040
Indexed BySSCI ; SSCI
Language英语
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.University of Macau Taipa Macau China
2.George Washington University, Washington, D.C. 2005
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Rose Neng Lai,Robert Van Orde. Securitization, Risk-Taking and the Optionto Change Strategy[J]. REAL ESTATE ECONOMICS,2014,42(2):343-362.
APA Rose Neng Lai,&Robert Van Orde.(2014).Securitization, Risk-Taking and the Optionto Change Strategy.REAL ESTATE ECONOMICS,42(2),343-362.
MLA Rose Neng Lai,et al."Securitization, Risk-Taking and the Optionto Change Strategy".REAL ESTATE ECONOMICS 42.2(2014):343-362.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Rose Neng Lai]'s Articles
[Robert Van Orde]'s Articles
Baidu academic
Similar articles in Baidu academic
[Rose Neng Lai]'s Articles
[Robert Van Orde]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Rose Neng Lai]'s Articles
[Robert Van Orde]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.