Asymmetric information in securitization : An empirical assessment $

@inproceedings{Albertazzi2015AsymmetricII,
  title={Asymmetric information in securitization : An empirical assessment \$},
  author={Ugo Albertazzi and Ginette Eramo and Leonardo Gambacorta and Carmelo Salleo},
  year={2015}
}
Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their… CONTINUE READING