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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Tipo de recurso:
Fecha de publicación:
2010
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
spa
OAI Identifier:
oai:repository.urosario.edu.co:10336/10829
Acceso en línea:
https://doi.org/10.48713/10336_10829
http://repository.urosario.edu.co/handle/10336/10829
Palabra clave:
Economía financiera
Loan Sales
Asymmetric Information
Liquidity
Securitization
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
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License
http://purl.org/coar/access_right/c_abf2
id EDOCUR2_9c370c787c629872ee3942293172a95b
oai_identifier_str oai:repository.urosario.edu.co:10336/10829
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
dc.title.none.fl_str_mv Loan sales under asymmetric information
title Loan sales under asymmetric information
spellingShingle Loan sales under asymmetric information
Economía financiera
Loan Sales
Asymmetric Information
Liquidity
Securitization
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
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
dc.subject.none.fl_str_mv Economía financiera
Loan Sales
Asymmetric Information
Liquidity
Securitization
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
topic Economía financiera
Loan Sales
Asymmetric Information
Liquidity
Securitization
Inversiones::Modelos Matemáticos
Liquidez (Economía)
Valores
Instituciones financieras
Préstamos::Modelos Matemáticos
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.
publishDate 2010
dc.date.none.fl_str_mv 2010-02
2015-09-18T18:54:45Z
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_8042
dc.identifier.none.fl_str_mv Vargas Martínez, M. (2010). Loan sales under asymmetric information. Bogotá: Universidad del Rosario, Facultad de Economía.
https://doi.org/10.48713/10336_10829
Universidad del Rosario, Facultad de Economía
http://repository.urosario.edu.co/handle/10336/10829
identifier_str_mv Vargas Martínez, M. (2010). Loan sales under asymmetric information. Bogotá: Universidad del Rosario, Facultad de Economía.
Universidad del Rosario, Facultad de Economía
url https://doi.org/10.48713/10336_10829
http://repository.urosario.edu.co/handle/10336/10829
dc.language.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://ideas.repec.org/p/col/000092/006827.html
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv 28 páginas
Recurso electrónico
application/pdf
Documento
dc.publisher.none.fl_str_mv Universidad del Rosario
Facultad de Economía
publisher.none.fl_str_mv Universidad del Rosario
Facultad de Economía
dc.source.none.fl_str_mv 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.
instname:Universidad del Rosario
instname:Universidad del Rosario
reponame:Repositorio Institucional EdocUR
instname_str Universidad del Rosario
institution Universidad del Rosario
reponame_str Repositorio Institucional EdocUR
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spelling Loan sales under asymmetric informationEconomía financieraLoan SalesAsymmetric InformationLiquiditySecuritizationInversiones::Modelos MatemáticosLiquidez (Economía)ValoresInstituciones financierasPréstamos::Modelos MatemáticosLoans 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.Universidad del RosarioFacultad de Economía2010-022015-09-18T18:54:45Zinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_804228 páginasRecurso electrónicoapplication/pdfDocumentoVargas Martínez, M. (2010). Loan sales under asymmetric information. Bogotá: Universidad del Rosario, Facultad de Economía.https://doi.org/10.48713/10336_10829 Universidad del Rosario, Facultad de Economíahttp://repository.urosario.edu.co/handle/10336/10829Ambrose, 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.instname:Universidad del Rosarioinstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURspahttps://ideas.repec.org/p/col/000092/006827.htmlhttp://purl.org/coar/access_right/c_abf2Vargas Martínez, Mónicaoai:repository.urosario.edu.co:10336/108292021-06-03T00:46:34Z

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