00000nam 2200000zi 4500 9.919028 CaOODSP 20230111152443 m o d f cr |n||||||||| 230111t20232023oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2023-3E-PDF Cheng, Yuteng, author. Mandatory retention rules and bank risk / by Yuteng Cheng. [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 1 online resource (ii, 61 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-3 "Last updated: January 5, 2023." Includes bibliographical references (pages 38-41). "This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. The Dodd-Frank Act and the EU Securitisation Regulation both impose a 5% mandatory retention requirement to motivate screening and monitoring. I first propose a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk. I then provide empirical evidence supporting this unintended consequence: in the US data, banks shifted toward riskier portfolios after the implementation of the retention rules embedded in Dodd-Frank"--Abstract. Includes abstract in French. Asset-backed financing. Titrisation. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2023-3. (CaOODSP)9.806221 PDF 1.00 MB https://publications.gc.ca/collections/collection_2023/banque-bank-canada/FB3-5-2023-3-eng.pdf