MARC Record from Library of Congress

LEADER: 02064cam a22003137a 4500
001 2005399822
003 DLC
005 20051130140712.0
007 cr |||||||||||
008 051130s2005 mau sb 000 0 eng
010 $a 2005399822
040 $aDLC$cDLC
043 $ae------
050 00 $aHB1
100 1 $aFranke, Guenter.
245 10 $aDefault risk sharing between banks and markets$h[electronic resource] :$bthe contribution of collateralized debt obligations /$cGuenter Franke, Jan Pieter Krahnen.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11741
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 11/30/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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' betas, but no significant stock price effect around the announcement of a CDO issue"--National Bureau of Economic Research web site.
650 0 $aCollateralized debt obligations$zEurope.
700 1 $aKrahnen, Jan Pieter.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11741.
856 40 $uhttp://papers.nber.org/papers/W11741