Federal Dposit InsuranceCorporation• Center for Financial Researchh
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2010-08
Originate-to-Distribute Model and the Subprime
Mortgage Crisis
August 2010
Empirical Comparisons and Implied Recovery Rates
kkk
An Empirical
An Empirical Analysis
State-
Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2010-08
Originate-to-Distribute Model and the Subprime
Mortgage Crisis
August 2010
Empirical Comparisons and Implied Recovery Rates
kkk
An Empirical
An Empirical Analysis
State-
Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
Originate-to-Distribute Model and the Subprime
Mortgage Crisis
Amiyatosh Purnanandam ∗
August 9, 2010
∗Amiyatosh Purnanandam can be reached at Ross School of Business, University of Michigan, Ann
Arbor, MI 48109, Phone: (734) 764-6886, E-mail: amiyatos@umich.edu. I thank Sugato Bhattacharya,
Uday Rajan, and George Pennacchi for extensive discussions and detailed comments on the paper. I want
to thank an anonymous referee, Franklin Allen, Heitor Almeida, Sreedhar Bharath, Charles Calomiris,
Sudheer Chava, Douglas Diamond, Gary Fissel, Scott Frame, Chris James, Han Kim, Paul Kupiec, Pete
Kyle, M.P. Narayanan, Paolo Pasquariello, Raghuram Rajan, Joao Santos, Antoinette Schoar, Amit Seru,
Matt Spiegel, Bhaskaran Swaminathan, Sheridan Titman, Anjan Thakor, Peter Tufano, Haluk Unal, Otto
Van Hemert, Paul Willen, and seminar participants at the Board of Governors, Washington D.C., FDIC,
Michigan State University, Loyola College, University of Texas at Dallas, University of Wisconsin, Madison,
Washington University, York University, AFA, 2010, WFA 2009, FIRS, 2010, Bank of Portugal Financial
Intermediation Conference, 2009, and Texas Finance Festival, 2009 for valuable suggestions. Kuncheng
Zheng provided excellent research assistance. I gratefully acknowledge financial support from the FDIC’s
Center for Financial Research. All remaining errors are mine.
1
Mortgage Crisis
Amiyatosh Purnanandam ∗
August 9, 2010
∗Amiyatosh Purnanandam can be reached at Ross School of Business, University of Michigan, Ann
Arbor, MI 48109, Phone: (734) 764-6886, E-mail: amiyatos@umich.edu. I thank Sugato Bhattacharya,
Uday Rajan, and George Pennacchi for extensive discussions and detailed comments on the paper. I want
to thank an anonymous referee, Franklin Allen, Heitor Almeida, Sreedhar Bharath, Charles Calomiris,
Sudheer Chava, Douglas Diamond, Gary Fissel, Scott Frame, Chris James, Han Kim, Paul Kupiec, Pete
Kyle, M.P. Narayanan, Paolo Pasquariello, Raghuram Rajan, Joao Santos, Antoinette Schoar, Amit Seru,
Matt Spiegel, Bhaskaran Swaminathan, Sheridan Titman, Anjan Thakor, Peter Tufano, Haluk Unal, Otto
Van Hemert, Paul Willen, and seminar participants at the Board of Governors, Washington D.C., FDIC,
Michigan State University, Loyola College, University of Texas at Dallas, University of Wisconsin, Madison,
Washington University, York University, AFA, 2010, WFA 2009, FIRS, 2010, Bank of Portugal Financial
Intermediation Conference, 2009, and Texas Finance Festival, 2009 for valuable suggestions. Kuncheng
Zheng provided excellent research assistance. I gratefully acknowledge financial support from the FDIC’s
Center for Financial Research. All remaining errors are mine.
1