Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

Jan Krahnen ()

No 152, Working Paper Series: Finance and Accounting from Department of Finance, Goethe University Frankfurt am Main

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

JEL-codes: D74 D82 G21 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin
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Journal Article: Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:fra:franaf:152

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