Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations
Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations
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银行和市场之间的违约风险分担：债务抵押债券的贡献
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
J. Krahnen
中科院分区：
文献类型：
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作者：
Guenter Franke;J. Krahnen
本文通过研究贷款证券化对金融机构违约风险、系统风险和股票价格的影响，对金融机构风险管理的经济学做出了贡献。在典型的CDO交易中，银行通过第一损失部分保留了很高比例的违约损失，并仅将极端损失转移给其他市场参与者。第一损失部分的规模在很大程度上是由证券化资产的平均违约概率决定的。如果银行在真实的销售交易中出售贷款，它可能会利用所得资金扩大其贷款业务，从而影响系统风险。对于欧洲CDO发行的样本，我们发现银行2019年的Beta有所增加，但CDO发行的宣布对股价没有显著影响。
This paper contributes to the economics of financial institutions risk management by exploring how loan securitization affects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the default losses, and transfers only the extreme losses to other market participants. The size of the first loss piece is largely driven by the average default probability of the securitized assets. If the bank sells loans in a true sale transaction, it may use the proceeds to expand its loan business, thereby affecting systematic risk. For a sample of European CDO issues, we find an increase of the banks%u2019 betas, but no significant stock price effect around the announcement of a CDO issue.