Análisis del impacto de la titulización hipotecaria en la estabilidad financiera del sistema bancario español: (Accésit Premio Estudios Financieros 2012)

• Autores: Luis Otero González, Miguel María Ezcurra Pérez
• Localización: Revista de Contabilidad y Tributación. CEF, ISSN-e 2792-8306, ISSN 2695-6896, Nº 356, 2012, págs. 111-144
• Idioma: español
• Texto completo no disponible (Saber más ...)
• Referencias bibliográficas
  • AGOSTINO, M. y MAZZUCA, M. [2008]:«Why do banks securitize? Evidence from Italy», XVI Spanish Finance Forum Conference Proceedings, Spanish...
  • ALTMAN, E.I. [2000]: «Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta® Model», Working paper, New York University.
  • ALLEN, F. y GALE, D. [2006]: «Systemic Risk and Regulations», en CAREY, M. y STULZ, R.M. (ed.) The Risks of Financial Institutions, págs....
  • AMATO, J. y REMOLONA, E. [2003]: «The Credit Spread Puzzle», BIS Quarterly Review, (December), págs. 51-63.
  • AMBROSE, B.; LACOUR-LITTLE, M. y SANDERS, A. [2003]: «Does Regulatory Capital Arbitrage or Asymmetric Information Drive Securitization?»,...
  • ANDERSON, R.C. y DONALD, R.F. [2000]: «Corporate Control, Bank Risk Taking, and the Health of the Banking Industry», Journal of Banking and...
  • ARCHER, R.W.; ELMER, P.J.; HARRISON, D.M. y LING, D.C. [1999]: «Determinants of Multifamily Mortgage Default», Working Paper, 99-2, Federal...
  • ASHCRAFT, A.; GOLDSMITH-PINKHAM, P. y VICKERY, J. [2009]: «MBS Ratings and the Mortgage Credit Boom», Discussion Paper, 2010-89S, Tilburg...
  • ASHCRAFT, A.B. y SCHUERMANN, T. [2008]: «Understanding the Securitization of Subprime Mortgage Credit», Working Paper, 07-43, Wharton Financial...
  • Asociación Hipotecaria Española [2008]: Resumen anual del mercado hipotecario. Banco de España [2008]: Informe de estabilidad financiera.
  • Bank for International Settlements (BIS) [2005]: «Credit Risk Transfer», Basel Committee on Banking Supervision.
  • Bank for International Settlements (BIS) [2007]: «Credit Risk Transfer: Developments from 2005 to 2007», Basel Committee on Banking Supervision.
  • BANNIER, C.E. y HÄNSEL, D. [2008]: «Determinants of European Banks’ Engagement in Loan Securitization», Working Paper, 10/2008, Deutsche Bundesbank.
  • BARRETT, R. y EWAN, J. [2006]: «BBA British Bankers Association Credit Derivatives Report», Research Report.
  • Basel Committee on Banking Supervision (BCBS) [2009]: «Proposed Enhancements to the Basel II Framework», Consultative Document.
  • BBVA [2008]: «The Housing Boom and Bust in Spain: Impact of the securitization model and dynamic provisioning», Working Paper, 0808. BBVA,...
  • BLANCO GARCÍA, S. y CARVAJAL MOLINA, P. [2000]: «Evolución del proceso de titulización en España», Documentos de Trabajo de la Facultad de...
  • CALOMIRIS, C. y MASON, J. [2004]: «Credit Card Securitization and Regulatory Arbitrage», Journal of Financial Services Research, 26 (1), August...
  • CARDONE-RIPORTELLA, C.; SAMANIEGO MEDINA, R. y TRUJILLO PONCE, A. [2009]: «What do we know about Banks Securitization? The Spanish Experience»,...
  • CASU, B.; CLARE, A.; SARKISYAN, A. y THOMAS, S. [2010]: «Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding...
  • CATARINEU, E. y PÉREZ, D. [2008]: «La titulización de activos por parte de las entidades de crédito: el modelo español en el contexto internacional...
  • CEBENOYAN, A.S. y STRAHAN, P.E. [2004]: «Risk Management, Capital structure and Lending at Banks», Journal of Banking and Finance, 28, págs....
  • COCKBURN, L. [2009]: American Casino, (Película).
  • DE AGUINAGA, P. [2010]: «El modelo de titulización en España», Jornadas sobre instrumentos financieros complejos: restos de la regulación...
  • DELL’ARICCIA, G.; DENIZ I. y LUC, A.L. [2009]: «Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market», Discussion...
  • DE MARZO, P. y DUFFIE, D. [1999]: «A Liquidity-Based Model of Security Design», Econometrica, 67, págs. 65-99.
  • DE NICOLÓ; G.; BARTHOLOMEW, P.; ZAMAN, J. y ZEPHIRIN, M. [2004]: «Bank consolidation, internalization, and conglomerization: trends and implications...
  • DEMYANYK, Y. y VAN HEMERT, O. [2008]: «Understanding the Subprime Mortgage Crisis», Working Paper, Federal Reserve Bank of Cleveland and New...
  • DIAMOND, D. y RAJAN, R. [2009]: «The Credit Crisis: Conjectures about Causes and Remedies», NBER Working Paper, 14739, Cambridge, MA: NBER.
  • DIMARTINO, D. y DUCA, J.V. [2007]: «The Rise and Fall of Subprime Mortgages», Economic Letter, Federal Reserve Bank of Dallas.
  • DIONNE, G. y HARCHAOUI, T.M. [2003]: «Banks’ Capital, Securitization and Credit Risk: An Empirical Evidence for Canada», Working Paper, 03-01,...
  • DUFFIE, D. y GARLEANU, N. [2001]: «Risk and valuation of collateralized debt obligations», Financial Analysts Journal, 57: 41-59.
  • ESF [2008]: «RMBS Issuer Principles for Transparency and Disclosure», Securities Industry and Financial Markets Association (SIFMA).
  • European Central Bank [2009]: «Housing Finance in the Euro Area», Occasional Paper Series, 101.
  • European Parliament [2009]: «Capital Requirements Directive, Number 2006/48/EC»; 2006/49/EC.
  • FENDER, I. y KIFF, J. [2004]: «CDO Rating Methodology: Some thoughts on Model Risk and its Implications», Working Paper, 163, Bank of International...
  • FITCH [2010]: «EMEA Residential Mortgage Loss Criteria Addendum – Spain», Reporb published, February 23, 2010.
  • FITCH [2010]: «Originator Support for Spanish Structured Finance Transactions», Report Published, November 16, 2010.
  • Fondo Monetario Internacional [2008]: Financial Stability Report, Chapter 1 and 2, págs. 1-84.
  • FRANKE, G. y KRAHNEN, J.P. [2006]: «Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations»,...
  • FUENTES EGUSQUIZA, I. [2007]: «La titulización en España: principales características», Boletín Económico del Banco de España, (diciembre).
  • FUJII, M. [2010]: «Securitized Products, Financial Regulation, and Systemic Risk», ADBI Working Paper, 203.
  • FUJII, M. y TAKEMOTO, R. [2009]: «Securitization and Financial Crisis: Risk Characteristics and Assessment of ABS CDO», FSA Research Review,...
  • GHENT, A.C. y KUDLYAK, M. [2009]: «Recourse and Residential Mortgage Default: Theory and Evidence from U.S. States», working Paper, 09-10,...
  • GIRÁLDEZ, P. y MARTÍN MARÍN, J.L. [2011]:«Perspectivas de la titulización de activos: el caso español», Boletín de Estudios Económicos, LXVI...
  • GORTON, G. [2008]: «The Panic of 2007», NBER Working Papers, 14358.
  • GORTON, G. y SOULELES, N. [2006]: «Special purpose vehicles and securitization», en: The Risks of Financial Institutions, eds. M. CAREY y...
  • GRAMLICH, E. [2007]: «Suprime Mortgage: America’s Latest Boom and Bust», Urban Institute Press.
  • GREENBAUM, S. y THAKOR, A. [1987]: «Bank funding models: Securitization versus Deposits», Journal of Banking and Finance, 11, págs. 379-401.
  • HÄNSEL, D.N. y KRAHNEN, J.P. [2007]: «Does Credit Securitization Reduce Bank Risk? Evidence from the European CDO Market», Working Paper,...
  • INSTEFJORD, N. [2005]: «Risk and Hedging: Do Credit Derivates Increase Bank Risk?», Journal of Banking and Finance, 29, págs. 333-345.
  • International Monetary Fund (IMF) [2007]: «Global Financial Stability Report: Financial Market Turbulence: Causes, Consequences, and Policies»,...
  • International Monetary Fund [2008a]: «Global Financial Stability Report: Containing Systemic Risks and Restoring Financial Soundness», págs....
  • International Monetary Fund [2008b]: «Global Financial Stability Report: Financial Stress and Deleveraging Macro-Financial Implications and...
  • JIANGLI, W.; PRITSKER, M. y RAUPACH, P. [2007]: «Banking and Securitization», Working Paper, FDIC, Federal Reserve Board and Deutsche Bundesbank.
  • JIMÉNEZ, G.; MIAN, A.; PEYDRÓ, J.L. y SAURINA, J. [2010]: «Estimating The Aggregate Impact of Credit Supply Channel», NBER Working Paper,...
  • KEYS, B.; TANMOY, M.; AMIT, S. y VIKRANT, V. [2010a]: «620 FICO, Take II: Securitization and Screening in the Subprime Mortgage Market», Manuscript,...
  • KEYS, B.; TANMOY, M.; AMIT, S. y VIKRANT, V. [2010b]: «Did Securitization Lead to Lax Screening? Evidence from Subprime Loans», Quarterly...
  • KINDLEBERGER, C.P. [2005]: «Manias, Panics, and Crashes: A History of Financial Crises», 5th ed. Wiley.
  • KOELEWIJN, J.: «The credit crisis: to what extent is it caused by bad governance?», Working paper.
  • KRAHNEN, J.P. y WILDE, C. [2006]: «Risk Transfer with CDOs and Systemic Risk in Banking», (CFS Working Paper, 2006/04).
  • KRUGMAN, P. [2007]: «Just say AAA», New York Times, Op. Ed. July, 2, 2007.
  • LAMY, M.F. [2006]: «The treatment of credit risk in the Basel Accord and financial stability», International Journal of Business, 11, págs....
  • LELAND, H.E. [2007]: «Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance»,...
  • LEVITIN, A.J.; PAVLOV, A.D. y WATCHER, S.M. [2009]: «Securitization: Cause or Remedy of the Financial Crisis», Georgetown Law and Economics...
  • LOCKWOOD, L.J.; RUTHERFORD, R.C. y HERRERA, M.J. [1996]: «Wealth Efects of Asset Securitization», Journal of Banking and Finance, 20, págs....
  • LOSADA LÓPEZ, R. [2006]: «Estructuras de titulización: características e implicaciones para el sistema financiero», Monografía, 14, CNMV.
  • LOSADA LÓPEZ, R.: «La titulización en España: principales características», Boletín Económico del Banco de España, (diciembre). Banco de España.
  • LOUTSKINA, E. [2005]: «Does Securitization Affect Bank Lending? Evidence from Bank Responses to Funding Shocks», Working Paper, Boston College,...
  • LOUTSKINA, E. y PHILIP, E.S. [2006]: «Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Acceptance...
  • MARTÍN OLIVER, A. y SAURINA J. [2007]: «Why do Banks Securitize Assets», Working Paper, Banco de España.
  • MARTÍN-MARÍN, J.L. y GIRÁLDEZ, P. [2010]: «Perspectives on the Securitization of Assets: Spanish Economy in Perspective», Journal of Financial...
  • MIAN, A.R. y SUFI, A. [2008]: «The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis», NBER Working...
  • MICHALAK, T. y UHDE, A. [2010]: «Credit Risk Securitization and Banking Stability Evidence from the MicroLevel for Europe», Journal of Financial...
  • MINTON, B.A.; SANDERS, A. y STRAHAN P. [2004]:«Securitization by Banks and Finance Companies: Efficient Financial Contracting or Regulatory...
  • MOODY’S [1996]: «Moody’s Approach to Rating Residential Mortgage Pass-Through Securities», Moody’s Structured Finance Special Report.
  • MOODY’S [2000]: «The Lognormal Method Applied to ABS Analysis», Moody’s International Structured Finance Special Report.
  • MOODY’S [2008]: «Updated Methodology for Rating Spanish RMBS», Moody’s Investors Service.
  • MOODY’S [2009a]: «Moody’s Approach to Rating Clos», Moody’s Investors Service.
  • MOODY’S [2009b]: «Moody’s Comments on the Interest Deferral Triggers in Three Santander FTA», Global Credit Research.
  • NADAULD, T.D. y SHERLUND, S.M. [2009]: «The Role of the Securitization Process in the Expansion of Subprime Credit», Finance and Economics...
  • Office of Thrift Supervision [1997]: «National Mortgage Default Rates and the Vintage Effect», Washington, D.C., WA: Office of Thrift Supervision.
  • PENNACCHI, G. [1988]: «Loan sales and the cost of bank capital», Journal of Finance, 43, 2, 375.
  • PURNANANDAM, A. [2009]: «Originate to Distribute Model and the Subprime Mortgage Crisis», Review of Financial Studies, 24 (6), págs. 1.881-1.915.
  • RAJAN, U.; SERU, A. y VIKRANT, V. [2008]: «The Failure of Models That Predict Failure: Distance, Incentives and Defaults», Working paper.
  • RENUART, E. [2004]: «An Overview of the Predatory Lending Process», Housing Policy Debate, 15 (3), págs. 467-502.
  • RIDDIOUGH, T.J. [2005]: «Optimal design and governance of asset-backed securities», Journal of Financial Intermediation, 6, págs. 121-152.
  • ROLDÁN ALEGRE, J.M. [2008]: «El papel del modelo de originar para distribuir en la crisis financiera de 2007», Estabilidad Financiera, 15,...
  • SARKISYAN, A.; CASU, B.; CLARE, A. y THOMAS, S. [2009]: «Securitization and Credit Risk Taking: Empirical Evidence from US Bank Holding Companies»,...
  • SCHUMER, C.E. y MALONEY, C.B. [2007]: «The Subprime Lending Crisis, The Economic Impact on Wealth, Property, Values and Tax Revenues and How...
  • SHIN, H.S. [2009]: «Securitisation and Financial Stability», The Economic Journal, 119, págs. 309-332.
  • STANDARD & POOR’S (S&P) [2007]: «Why Spanish RMBS Is Coping Well In Potentially Trying Times», Standard & Poor’s.
  • STANDARD & POOR’S (S&P) [2010]: «Structured Finance Rating Transition and Default Update as of February, 28, 2010», Standard &...
  • UHDE, A. y HEIMESHOFF, U. [2009]: «Consolidation in Banking and Financial Stability in Europe: Empirical Evidence», Journal of Banking and...
  • UHDE, A. y MICHALAK, T.C. [2009]: «Credit Risk Securitization and Bank Soundness: Evidence from the MicroLevel for Europe», 22nd Australasian...
  • UZUN, H. y WEBB, E. [2007]: «Securitization and Risk: Empirical Evidence on US Banks», Journal of Risk Finance, 8, págs. 11-23.
  • ROLDÁN ALEGRE, J.M. [2008]: «El papel del modelo de originar para distribuir en la crisis financiera de 2007», Estabilidad Financiera, 15,...
  • SARKISYAN, A.; CASU, B.; CLARE, A. y THOMAS, S. [2009]: «Securitization and Credit Risk Taking: Empirical Evidence from US Bank Holding Companies»,...
  • SCHUMER, C.E. y MALONEY, C.B. [2007]: «The Subprime Lending Crisis, The Economic Impact on Wealth, Property, Values and Tax Revenues and How...
  • SHIN, H.S. [2009]: «Securitisation and Financial Stability», The Economic Journal, 119, págs. 309-332.
  • STANDARD & POOR’S (S&P) [2007]: «Why Spanish RMBS Is Coping Well In Potentially Trying Times», Standard & Poor’s.
  • STANDARD & POOR’S (S&P) [2010]: «Structured Finance Rating Transition and Default Update as of February, 28, 2010», Standard &...
  • UHDE, A. y HEIMESHOFF, U. [2009]: «Consolidation in Banking and Financial Stability in Europe: Empirical Evidence», Journal of Banking and...
  • UHDE, A. y MICHALAK, T.C. [2009]: «Credit Risk Securitization and Bank Soundness: Evidence from the MicroLevel for Europe», 22nd Australasian...
  • UZUN, H. y WEBB, E. [2007]: «Securitization and Risk: Empirical Evidence on US Banks», Journal of Risk Finance, 8, págs. 11-23.