In short order, CDOs and CDS replaced traditional investors and bond insurers as the main investors and risk assessors for subordinate tranches in sub-prime mortgage ABS, because the CDOs were willing to accept riskier loans in securitizations that the bond insurers and the traditional investors would have rejected. Pokračování v Demystifying the Credit Crunch. Tento materiál vám pomůže udělat si pořádek v tom, co se to stalo s těmi hypotékami (doporučuji).
V ruce mám ještě jeden paper, a to od Petra Teplého, ale ten ještě není veřejný. Tak aspoň jeho abstrakt:
While the form of crises may change, their essence remains the same (e.g. a cycle of abundant liquidity, rapid credit growth, and a low-inflation environment followed by an asset-price bubble). The current market turbulence began in mid-2000s when the US economy shifted to an imbalanced macroeconomic position. By 2007, mounting defaults in the US sub-prime mortgage market led to US market instability, unleashing a global fiscal contagion that spread around the world, roiling markets and causing world economic upheaval. This contagion led to, for example, the nationalization of big financial institutions, bank failures, the end of an era in investment banking, increased federal insurance on banking deposits, government bailouts and opportunistic investments by sovereign wealth funds. In this paper, we discuss the history, macroeconomic conditions, and milestones of the US mortgage crisis that later resulted in the global liquidity and credit shortages. We also describe key investment banking and risk management practices that exacerbated the impact of the crisis, such as relying on an originate-to-distribute model, risk-shifting, securitization techniques, ratings processes and the use of off-balance sheet vehicles. Moreover, we address key lessons for risk management derived from the current crisis and recommend policies that should help diminish the negative impact of future potential crises.
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