Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23417 
Year of Publication: 
2005
Series/Report no.: 
Working Paper Series: Finance & Accounting No. 152
Publisher: 
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften, Frankfurt a. M.
Abstract: 
This paper makes an attempt to present the economics of credit securitisation in a nontechnical way, starting from the description and the analysis of a typical securitisation transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is at the heart of securitisation transactions, may allow commercial banks to maximize their shareholder value. However, the analysis makes also clear that the conditions under which credit securitisation enhances welfare, are fairly restrictive, and require not only an active role of the banking supervisory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort.
Document Type: 
Working Paper

Files in This Item:
File
Size
514.21 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.