Valuation of ABS Under Asymmetric Information

Solomon Deku and Alper Kara
Additional contact information
Alper Kara: Loughborough University

Chapter 6 in Securitization: Past, Present and Future, 2017, pp 113-129 from Palgrave Macmillan

Abstract: Abstract Securitization transactions are vulnerable to three related but distinct information problems. The first of which is the classic (lemons) adverse selection problem associated with the lender-borrower relationship where borrowers possibly have more private information about their projects than is available to lenders (originators). The intermediate information barrier materialises due to poor monitoring, where these possibly opaque loans are securitised, thereby incidentally resulting in asymmetric information between underlying borrowers and end ABS investors. Finally, there are moral hazard problems between the originator of the ABS and investors. Here, the originators have more private information about securitised loans and are less motivated to perform their monitoring function efficiently as the risk and ownership have been transferred to investors.

Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-3-319-60128-1_6

Ordering information: This item can be ordered from
http://www.palgrave.com/9783319601281

DOI: 10.1007/978-3-319-60128-1_6

Access Statistics for this chapter

More chapters in Palgrave Macmillan Studies in Banking and Financial Institutions from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().