CDOs and Systematic Risk: Why bond ratings are inadequate
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- Krahnen, Jan Pieter & Wilde, Christian, 2009. "CDOs and systematic risk: Why bond ratings are inadequate," CFS Working Paper Series 2009/11, Center for Financial Studies (CFS).
References listed on IDEAS
- Gunter Franke & Jan Pieter Krahnen, 2007.
"Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations,"
NBER Chapters,in: The Risks of Financial Institutions, pages 603-634
National Bureau of Economic Research, Inc.
- Franke, Günter & Krahnen, Jan Pieter, 2005. "Default risk sharing between banks and markets: The contribution of collateralized debt obligations," CFS Working Paper Series 2005/06, Center for Financial Studies (CFS).
- Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
- Peter M. DeMarzo, 2005. "The Pooling and Tranching of Securities: A Model of Informed Intermediation," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 1-35.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Günter Franke & Jan P. Krahnen, 2009. "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 10(4), pages 335-366, November.
- Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2013. "Ratings based capital adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5236-5247.
- Freixas, Xavier & Laux, Christian, 2011. "Disclosure, transparency, and market discipline," CFS Working Paper Series 2011/11, Center for Financial Studies (CFS).
- Mählmann, Thomas, 2013. "Hedge funds, CDOs and the financial crisis: An empirical investigation of the “Magnetar trade”," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 537-548.
- Wilde, Christian & Krahnen, Jan Pieter, 2017. "Skin in the game in ABS transactions: A critical review of policy options," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168296, Verein für Socialpolitik / German Economic Association.
- Krahnen, Jan Pieter & Wilde, Christian, 2017. "Skin-in-the-game in ABS transactions: A critical review of policy options," SAFE White Paper Series 46, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
More about this item
Keywordscredit risk; risk transfer; systematic risk;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-28 (All new papers)
- NEP-CMP-2009-07-28 (Computational Economics)
- NEP-FMK-2009-07-28 (Financial Markets)
- NEP-RMG-2009-07-28 (Risk Management)
- NEP-UPT-2009-07-28 (Utility Models & Prospect Theory)
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