Loan sales under asymmetric information

Loans are illiquid assets that can be sold in a secondary market even that buyers have no certainty about their quality. I study a model in which a lender has access to new investment opportunities when all her assets are illiquid. To raise funds, the lender may either borrow using her assets as col...

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Autor Principal: Vargas Martínez, Mónica
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2010
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10829
id ir-10336-10829
recordtype dspace
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Economía financiera
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
Loan Sales
Asymmetric Information
Liquidity
Securitization
spellingShingle Economía financiera
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
Loan Sales
Asymmetric Information
Liquidity
Securitization
Vargas Martínez, Mónica
Loan sales under asymmetric information
description Loans are illiquid assets that can be sold in a secondary market even that buyers have no certainty about their quality. I study a model in which a lender has access to new investment opportunities when all her assets are illiquid. To raise funds, the lender may either borrow using her assets as collateral, or she can sell them in a secondary market. Given asymmetric information about assets quality, the lender cannot recover the total value of her assets. There is then a role for the government to correct the information problem using fiscal tools.
format Documento de trabajo (Working Paper)
author Vargas Martínez, Mónica
author_facet Vargas Martínez, Mónica
author_sort Vargas Martínez, Mónica
title Loan sales under asymmetric information
title_short Loan sales under asymmetric information
title_full Loan sales under asymmetric information
title_fullStr Loan sales under asymmetric information
title_full_unstemmed Loan sales under asymmetric information
title_sort loan sales under asymmetric information
publisher Universidad del Rosario
publishDate 2010
url http://repository.urosario.edu.co/handle/10336/10829
_version_ 1645141282953101312
spelling ir-10336-108292019-09-19T12:37:01Z Loan sales under asymmetric information Vargas Martínez, Mónica Economía financiera Inversiones::Modelos Matemáticos Liquidez (Economía) Valores Instituciones financieras Préstamos::Modelos Matemáticos Loan Sales Asymmetric Information Liquidity Securitization Loans are illiquid assets that can be sold in a secondary market even that buyers have no certainty about their quality. I study a model in which a lender has access to new investment opportunities when all her assets are illiquid. To raise funds, the lender may either borrow using her assets as collateral, or she can sell them in a secondary market. Given asymmetric information about assets quality, the lender cannot recover the total value of her assets. There is then a role for the government to correct the information problem using fiscal tools. 2010-02 2015-09-18T18:54:45Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion Vargas Martínez, M. (2010). Loan sales under asymmetric information. Bogotá: Universidad del Rosario, Facultad de Economía. http://repository.urosario.edu.co/handle/10336/10829 Universidad del Rosario, Facultad de Economía spa info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario Ambrose, B., M. LaCour-Little and A. Sanders, Does Regulatory Capital Arbitrage or Asymmetric Information Drive Securitization?. Working Paper, 2003. Besanko D., Kanatas G., Credit Market Equilibrium with Bank Monitoring and Moral Hazard. The Review of Financial Studies, 1993 Volume 6, number 1, pp. 213-232. Bolton, P. and X. Freixas, Equity, Bonds, and Bank Debt: Capital Structure and Financial Market Equilibrium under Asymmetric Information. Journal of Political Economy, 2000, vol. 108, no. 2. Cerasi, V. and J-C. Rochet, Solvency Regulation and Credit Risk Transfer. Paolo Baffi Centre Research Paper No. 2008-21. DeMarzo, P. and D. Duffie, A Liquidity-Based Model of Security Design. Econometrica, Vol. 67, No 1 (Jan., 1999), 65-99. DeMarzo, P. and D. Duffie, A Liquidity-Based Model of Security Design. Econometrica, Vol. 67, No 1 (Jan., 1999), 65-99. Diamond, D., Financial Intermediation and Delegated Monitoring. Review of Economic Studies, 1984, 51, 393-414. Diamond, D., Monitoring and Reputation: The choice between Bank Loans and Directly Placed Debt. Journal of Political Economy, 1991, vol. 99(4), p. 689-721. Diamond, D. and Rajan R., Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking. Journal of Political Economy, 2001, Vol. 109, No. 2., pp. 287-327. Diamond, D. and Rajan R., Liquidity Shortages and Banking Crises. The Journal of Finance, Vol. LX, No. 2., April 2005. Duffie, D., Innovations in Credit Risk Transfer: Implications for Financial Stability. BIS Working Paper No. 255. Freixas, X., B. Parigi and J-C. Rochet, The Lender of Last Resort: A 21st Century Approach. Journal of the European Economic Association, Vol. 2, n. 6, December 2004, p. 1085-1115. Gorton, G. and N. Souleles, Special Purpose Vehicles and Securitization. Working Paper, April 2005. Gorton, G. and Huang L., Liquidity, Efficiency, and Bank Bailouts. The American Economic Review, 2004, Vol. 94, No. 3. (June), pp. 455-483. Greenbaum, S. and A. Thakor, Bank Funding modes - Securitization versus Deposits. Journal of Banking and Finance, 1987, 11, 379-401, North-Holland. Han, L. and G. Lai, An analysis of securitization in the insurance industry. The Journal of Risk Insurance, 1995 Vol. 62, No 2, 286-296. Holmstrom B. and Tirole J., Private and Public Supply of Liquidity. Journal of Political Economy, 1998, Vol. 106(1), pages 1-40, February. Holmstrom B. and Tirole J., Private and Public Supply of Liquidity. Journal of Political Economy, 1998, Vol. 106(1), pages 1-40, February. Passmore, W., R. Sparks, and J. Ingpen, GSEs, Mortgage Rates and Mortgage Securitization. Journal of Real Estate Finance and Economics, 2002, 25, 215-242. Repullo, R., Who should act as LOLR? An incomplete contracts model. Journal of Money, Credit and Banking, Vol. 32, No. 3, Part 2: What Should Central Banks do? Aug 2000, 580-605. Rochet J-C. and X. Vives, Coordination Failure and the Lender of Last Resort: Was Bagehot Right After All?. Working Paper, 2003. Rochet J-C., Macroeconomic Shocks and Banking Supervision. Journal of Financial Stability, 2004, 1(1), 93-110.
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