Franke, Günter; Krahnen, Jan Pieter - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2005
This paper contributes to the economics of financial institutions risk management by exploring how loan securitization affects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the...
