Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA
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.
Year of publication: |
2014
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Authors: | Li, Zhuwei ; An, Hui ; Yin, Xiaoting ; Chi, Lin |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 21.2014, 12, p. 832-835
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Publisher: |
Taylor & Francis Journals |
Saved in:
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