Mandatory retention rules and bank risk / by Yuteng Cheng.: FB3-5/2023-3E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.919028&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Mandatory retention rules and bank risk / by Yuteng Cheng. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-3 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: January 5, 2023." Includes bibliographical references (pages 38-41). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 |
| Author / Contributor | Cheng, Yuteng, author. |
| Description | 1 online resource (ii, 61 pages) : charts. |
| Catalogue number |
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| Subject terms | Asset-backed financing. Titrisation. |
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