Securitization of assets with payment delay risk: A financial innovation in the real estate market
研究了一种新型证券化产品——抵押应收款支持证券（MRBS），其基础资产的主要风险是支付延迟而非违约或提前还款，并分析了影响该风险的因素及证券化过程中的逆向选择问题。
Abstract We study a new type of securitization that deals with banks' processing time, mortgage‐receivable‐backed securities (MRBSs) issued by real estate developers. Unlike traditional mortgage‐backed securities (MBSs), the major risk of underlying assets of MRBSs is payment delay instead of default and prepayment. Using unique loan‐level data, we estimate proportional hazard models and detect factors that affect the risk of underlying assets of MRBSs, including bank characteristics, property–loan–household characteristics, local market conditions, and macroeconomic conditions. Especially, we find that the effects of house prices and loan‐to‐value ratios on MRBS risk are the opposite of those on traditional MBS risk. Based on the estimates, we simulate cash flows of an underlying‐asset pool and analyze the shortfall risk of the corresponding security tranches. We find that the securitization process imposes a natural adverse selection on the underlying assets.