Release Time:2019-03-10  Hits:

Indexed by: Journal Article

Date of Publication: 2014-08-13

Journal: APPLIED ECONOMICS LETTERS

Included Journals: SSCI

Volume: 21

Issue: 12

Page Number: 832-835

ISSN: 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.