Investors, the Securitization of Bad Loans, and the Probability of Default

Dimitris N. Chorafas

Chapter 11 in Management Risk, 2004, pp 192-212 from Palgrave Macmillan

Abstract: Abstract As reported in a New York Times article, Citibank, a major lender to Enron, apparently protected itself from a significant portion of its Enron’s credit risk by passing it on to investors in credit-linked bonds. What the article did not mention, however, was that Citibank accomplished this risk transfer through an innovative transaction that combined credit derivatives and insurance with traditional securitization.1

Keywords: Capital Market; Institutional Investor; Credit Risk; Credit Default Swap; Trade Credit (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-4039-4810-6_11

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DOI: 10.1057/9781403948106_11

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