| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5642 |
| DP5642 Macroeconomic Policy and the Distribution of Growth Rates | |
| Jonathan Temple; Vatcharin Sirimaneetham | |
| 发表日期 | 2006-04-25 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values. The commonality of bank equity values reflects a major component of systemic risks in the banking market, caused by correlated defaults of loans in the banks' loan books. Our simulations take into account the major stylized fact of CDO\ transactions, the non-proportional nature of risk sharing that goes along with tranching. We provide a theoretical framework for the risk transfer through securitization that builds on a macro risk factor and an idiosyncratic risk factor, allowing an identification of the types of risk that the individual tranche holders bear. This allows conclusions about the risk positions of issuing banks after risk transfer. Building on the strict subordination of tranches, we first evaluate the correlation properties both within and across risk classes. We then determine the effect of securitization on the systematic risk of all tranches, and derive its effect on the issuing bank's equity beta. The simulation results show that under plausible assumptions concerning bank reinvestment behavior and capital structure choice, the issuing intermediary's systematic risk tends to rise. We discuss the implications of our findings for financial stability supervision. |
| 主题 | Financial Economics |
| 关键词 | Risk transfer Systemic risk Systematic risk |
| URL | https://cepr.org/publications/dp5642 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534499 |
| 推荐引用方式 GB/T 7714 | Jonathan Temple,Vatcharin Sirimaneetham. DP5642 Macroeconomic Policy and the Distribution of Growth Rates. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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