Essays on Agency Problems in Securitizations

In this thesis, I investigate the role of agency problems in securitization by examining the impact of two European Union (EU) regulations on bank behavior, securitized asset performance, and tranche credit spreads. In particular, I consider the mandatory minimum retention requirements in the EU and the EU securitization regulation. In a collection of three research papers, I show that retaining a material fraction of the deal improves banks’ post-securitization behavior and reduces asymmetric information between originators and investors, leading to reduced tranche credit spreads. I also show that features, but not the STS label (for simple, transparent, and standardized securitizations) established by the EU securitization regulation, are crucial for loan performance. However, investors hardly consider the features, but simply rely on the existence of the label.


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