Der Handel von Kreditrisiken: eine neue Dimension des Kapitalmarktes

  • This paper makes an attempt to present the economics of credit securitization in a non-technical way, starting from the description and the analysis of a typical securitization transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is at the heart of securitization transactions, may allow commercial banks to maximize their shareholder value. However, the analysis makes also clear that the conditions under which credit securitization enhances welfare, are fairly restrictive, and require not only an active role of the banking supervisiory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort. Klassifikation: D82, G21, D74. February 16, 2005.

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Author:Jan Pieter KrahnenORCiDGND
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No.2005,05
Series (Serial Number):CFS working paper series (2005, 05)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Year of Completion:2005
Year of first Publication:2005
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2005/06/13
GND Keyword:Kreditrisiko; Kapitalmarkt; Handel
Issue:Version 16. Februar 2005
Page Number:28
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht