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Indexed by:期刊论文

Date of Publication:2014-08-13

Journal:APPLIED ECONOMICS LETTERS

Included Journals:SSCI

Volume:21

Issue:12

Page Number:832-835

ISSN No.:1350-4851

Key Words:asset securitization; systemic risk; amplification effect; CDO; G20; G15

Abstract: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.