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

扫描关注

论文成果

当前位置: 中文主页 >> 科学研究 >> 论文成果

Risk amplification effect of asset securitization among financial institutions: evidence from CDO products in the USA

点击次数:

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.