TY - BOOK ID - 84659238 TI - Asset securitization and optimal retention AU - Kiff, John. AU - Kisser, Michael. AU - International Monetary Fund. PY - 2010 SN - 1462381987 145276316X 1282845624 9786612845628 1451982178 PB - [Washington, D.C.] : International Monetary Fund, Monetary and Capital Markets, DB - UniCat KW - Asset-backed financing KW - Securities KW - Econometric models. KW - Blue sky laws KW - Capitalization (Finance) KW - Investment securities KW - Portfolio KW - Scrip KW - Securities law KW - Underwriting KW - Investments KW - Investment banking KW - Asset-backed securities KW - Asset-based financing KW - Asset securitization KW - Securitization, Asset KW - Corporations KW - Covered bonds KW - Law and legislation KW - Finance KW - Banks and Banking KW - Finance: General KW - Investments: Stocks KW - Money and Monetary Policy KW - Industries: Financial Services KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - Monetary Policy, Central Banking, and the Supply of Money and Credit: General KW - Financing Policy KW - Financial Risk and Risk Management KW - Capital and Ownership Structure KW - Value of Firms KW - Goodwill KW - General Financial Markets: Government Policy and Regulation KW - Investment & securities KW - Monetary economics KW - Financial services law & regulation KW - Stocks KW - Loans KW - Credit KW - Credit risk KW - Financial sector stability KW - Financial risk management KW - Financial services industry KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84659238 AB - This paper builds on recent research by Fender and Mitchell (2009) who show that if financial institutions securitize loans, retaining an interest in the equity tranche does not always induce the securitizer to diligently screen borrowers ex ante. We first determine the conditions under which this scenario becomes binding and further illustrate the implications for capital requirements. We then propose an extension to the existing model and also solve for optimal retention size. This also allows us to capture feedback effects from capital requirements into the maximization problem. Preliminary results show that equity tranche retention continues to best incentivize loan screening. ER -