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

被引：0

作者：

Li, Zhuwei ^{[1
]}

An, Hui ^{[1
]}

Yin, Xiaoting ^{[1
]}

Chi, Lin ^{[2
]}

机构：

[1] Dalian Univ Technol, Fac Management & Econ, Dalian 116024, Peoples R China

[2] Bur Financial Dev Dalian City, Dalian 116025, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2014年 / 21卷 / 12期

基金：

中国博士后科学基金;

关键词：

asset securitization; systemic risk; amplification effect; CDO; G20; G15; MARKETS;

D O I：

10.1080/13504851.2014.892190

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：832 / 835

页数：4

共 50 条

[1] A Research on the Risk Management Mechanism of the Asset-Backed Securitization of Financial Institutions in China: Perspective of the Subprime Mortgage Crisis
Yao Liang
Deng Mingran
PROCEEDINGS OF THE 6TH INTERNATIONAL CONFERENCE ON INNOVATION AND MANAGEMENT, VOLS I AND II, 2009, : 699 - 704
[2] Customer risk and corporate financial policy: Evidence from receivables securitization
Liu, Laura Xiaolei
Mao, Mike Qinghao
Nini, Greg
JOURNAL OF CORPORATE FINANCE, 2018, 50 : 453 - 467
[3] Financial shocks, investor sentiment, and heterogeneous firms' output volatility: Evidence from credit asset securitization markets
Li, Jia
Yang, Jianfei
FINANCE RESEARCH LETTERS, 2024, 60
[4] The effect of asset and liability management on the financial performance of microfinance institutions: evidence from sub-Saharan African region
Abebe, Mulualem Getahun
FUTURE BUSINESS JOURNAL, 2022, 8 (01)
[5] The effect of asset and liability management on the financial performance of microfinance institutions: evidence from sub-Saharan African region
Mulualem Getahun Abebe
Future Business Journal, 8
[6] The liquidity risk-financial performance nexus: Evidence from hybrid financial institutions
Adusei, Michael
MANAGERIAL AND DECISION ECONOMICS, 2022, 43 (01) : 31 - 47
[7] Financial literacy and asset allocation among retired residents: evidence from China
Yu, Ying-Qi
JOURNAL OF THE ASIA PACIFIC ECONOMY, 2022, 27 (04) : 660 - 681
[8] Business connectedness or market risk? Evidence from financial institutions in China
Liang, Qi
Lu, Yanchen
Li, Zheng
CHINA ECONOMIC REVIEW, 2020, 62
[9] Systemic Risk Spillover Effects among China's Financial Institutions: Evidence from the Spatial Econometric Model
Lei, Ao
Tian, Yixiang
Zhao, Hui
FLUCTUATION AND NOISE LETTERS, 2023,
[10] Spatial Spillovers of Financial Risk and Their Dynamic Evolution: Evidence from Listed Financial Institutions in China
Chen, Shaowei
Guo, Long
Qiang, Qiang
ENTROPY, 2022, 24 (11)

← 1 2 3 4 5 →