Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA

Zhuwei Li, Hui An, Xiaoting Yin and Lin Chi

Applied Economics Letters, 2014, vol. 21, issue 12, 832-835

Abstract: This article theoretically and empirically investigates the risk amplification effects of asset securitization among financial institutions in the USA based on a risk model and a single-factor time series model. Results show that systemic risk of financial institutions is enlarged by asset securitization, and the reaction is faster with a larger issuance and holdings of collateralized debt obligation.

Date: 2014
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DOI: 10.1080/13504851.2014.892190

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