|
EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25470
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Krahnen, Jan Pieter | | en_US |
| dc.contributor.author | | Wilde, Christian | | en_US |
| dc.date.accessioned | | 2006-08-07 | | en_US |
| dc.date.accessioned | | 2009-07-24T13:47:49Z | | - |
| dc.date.available | | 2009-07-24T13:47:49Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25470 | | - |
| dc.description.abstract | | Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values. The commonality of bank equity values reflects a major component of systemic risks in the banking market, caused by correlated defaults of loans in the banks loan books. Our simulations take into account the major stylized fact of CDO transactions, the nonproportional nature of risk sharing that goes along with tranching. We provide a theoretical framework for the risk transfer through securitization that builds on a macro risk factor and an idiosyncratic risk factor, allowing an identification of the types of risk that the individual tranche holders bear. This allows conclusions about the risk positions of issuing banks after risk transfer. Building on the strict subordination of tranches, we first evaluate the correlation properties both within and across risk classes. We then determine the effect of securitization on the systematic risk of all tranches, and derive its effect on the issuing banks equity beta. The simulation results show that under plausible assumptions concerning bank reinvestment behaviour and capital structure choice, the issuing intermediarys systematic risk tends to rise. We discuss the implications of our findings for financial stability supervision. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Financial Studies Frankfurt, Main | | en_US |
| dc.relation.ispartofseries | | CFS Working Paper 2006/04 | | en_US |
| dc.subject.jel | | G28 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Risk Transfer | | en_US |
| dc.subject.keyword | | Systematic Risk | | en_US |
| dc.subject.keyword | | Systemic Risk | | en_US |
| dc.subject.stw | | Bankgeschäft | | en_US |
| dc.subject.stw | | Kreditsicherung | | en_US |
| dc.subject.stw | | Risiko | | en_US |
| dc.subject.stw | | Monte-Carlo-Methode | | en_US |
| dc.title | | Risk transfer with CDOs and systemic risk in bankingfam | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 515332674 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|