安辉
个人信息Personal Information
教授
博士生导师
硕士生导师
性别:女
毕业院校:东北财经大学
学位:博士
所在单位:金融与会计研究所
学科:金融学
办公地点:管理与经济学院大楼 D537
联系方式:0411-84707669
电子邮箱:anhui@dlut.edu.cn
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Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA
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论文类型:期刊论文
发表时间:2014-08-13
发表刊物:APPLIED ECONOMICS LETTERS
收录刊物:SSCI
卷号:21
期号:12
页面范围:832-835
ISSN号:1350-4851
关键字:asset securitization; systemic risk; amplification effect; CDO; G20; G15
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.