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个人信息Personal Information
副教授
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. 投资学
电子邮箱：zwli@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.