. 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 … plausible assumptions concerning bank reinvestment behaviour and capital structure choice, the issuing intermediarys systematic …

previous research on the role of central banks as lenders of last resort in crises and on the real effects of bank lending and …

differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different …

differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different …