Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

Jan Krahnen ()

No 2005/05, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: This paper makes an attempt to present the economics of credit securitization in a nontechnical 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.

JEL-codes: D74 D82 G21 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes (2005)
Working Paper: Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200505

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