Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes
AbstractThis article makes an attempt to present the economics of credit securitisation in a non-technical way, starting from the description and the analysis of a typical securitisation transaction. The article sketches a theoretical explanation for why tranching, or non-proportional risk sharing, which is at the heart of securitisation transactions, may allow commercial banks to maximize their shareholder value. However, the analysis also makes clear that the conditions under which credit securitisation enhances welfare are fairly restrictive, and require not only an active role on the part of the banking supervisory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort. Copyright Verein für Socialpolitik und Blackwell Publishers Ltd, 2005
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Bibliographic InfoArticle provided by Verein für Socialpolitik in its journal Perspektiven der Wirtschaftspolitik.
Volume (Year): 6 (2005)
Issue (Month): 4 (November)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1465-6493
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Other versions of this item:
- Krahnen, Jan Pieter, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," CFS Working Paper Series 2005/05, Center for Financial Studies (CFS).
- Jan Pieter Krahnen, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," Working Paper Series: Finance and Accounting 152, Department of Finance, Goethe University Frankfurt am Main.
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- D74 - Microeconomics - - Analysis of Collective Decision-Making - - - Conflict; Conflict Resolution; Alliances
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