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Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA

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  • Zhuwei Li
  • Hui An
  • Xiaoting Yin
  • Lin Chi

Abstract

This article theoretically and empirically investigates the risk amplification effects of asset securitization among financial institutions in the USA based on a risk model and a single-factor time series model. Results show that systemic risk of financial institutions is enlarged by asset securitization, and the reaction is faster with a larger issuance and holdings of collateralized debt obligation.

Suggested Citation

  • Zhuwei Li & Hui An & Xiaoting Yin & Lin Chi, 2014. "Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 21(12), pages 832-835, August.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:12:p:832-835
    DOI: 10.1080/13504851.2014.892190
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