Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes
This 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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Volume (Year): 6 (2005)
Issue (Month): 4 (November)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Credit derivatives in banking: useful tools for managing risk?,"
Finance and Economics Discussion Series
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- Geoffrey P. Miller, 1998. "On the Obsolescence of Commercial Banking," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 154(1), pages 61-, March.
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- Rajan, Raghuram G, 1992. " Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt," Journal of Finance, American Finance Association, vol. 47(4), pages 1367-400, September.
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