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
收藏
页码：832 / 835
页数：4
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