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留学生信用风险管理硕士论文定制-Does credit securitization reduce bank risk? Evidence from the European CDO market

论文作者:留学生论文网论文属性:硕士毕业论文 dissertation登出时间:2012-02-13编辑:anterran点击率:4321

论文字数:11101论文编号:org201202131129237071语种:英语论文 English地区:英国价格:$ 44

关键词:European CDO marketEvidencecredit securitizationcredit risk

摘要:提供留学生信用风险管理硕士论文定制-Does credit securitization reduce bank risk? Evidence from the European CDO market-In this paper we analyze whether the use of credit risk transfer instruments aects the risk taking of large, international banks

Does credit securitization reduce bank risk? Evidence from the European CDO market¤
Dennis N. HÄansely Jan-Pieter Krahnenz
March 20, 2007
Abstract
In this paper we analyze whether the use ofcredit risk transfer instruments
a®ects the risk taking of large, international banks. Relying on a unique data set ofEuropean collateralized debt obligations (CDOs), we ¯nd that the issue of CDOstends to raise the systematic risk (equity beta) of the issuing bank. We also performa cross-sectional analysis to identify determinants of the change in systematic risk,and ¯nd that equity beta rises signi¯cantly more if the issuing bank is ¯nancially
weak (low pro¯tability and high leverage), and if it is domiciled in a bank-based¯nancial system. Overall, our ¯ndings suggest that credit securitization goes hand-in hand with an increase in the risk appetite of the issuing bank. Our ¯ndingsare also relevant for understanding the ¯nancial stability implications of credit
securitizations.
JEL classi¯cation: G28, G21
Keywords: Risk transfer, systematic risk, systemic risk, event study
¤We thank Christina Bannier, Ralf Elsas, GÄunther Franke, Christian Hirsch, Thomas Weber and
Christian Wilde for very helpful comments. We gratefully acknowledge ¯nancial support by Deutsche
Forschungsgemeinschaft and by the Center for Financial Studies at Frankfurt's Goethe University.
yFinance department, Goethe University Frankfurt, E-mail: haensel@¯nance.uni-frankfurt.de.
zFinance department, Goethe University Frankfurt, E-mail: krahnen@¯nance.uni-frankfurt.de.
1
1 Introduction
Since the late 1990s Europe has experienced a rapid development of its market for credit
risk transfer. Recent reports from the British Bankers Association and the Bank for
International Settlements estimate the global market for credit default swaps (CDS)
at an all time high of 3 trn Euro (4 trn US$) in notional amount, and the market forasset-backed securities (ABS), especially collateralized debt obligations (CDO), at 220bn Euro (260 bn US$). Europe has a 30% market share in both markets, and thatnumber is rising. Several observers (Ki® et al. (2002), Du®ee/Zhou (2001)) and an-alysts from central banks have stressed the importance of these new markets for the
stability of ¯nancial systems, as they allow banks to o®-load part of the risks stemmingfrom their lending business. The past chairman of the Federal Reserve System, AlanGreenspan, is quoted on September 27, 2005: \The new instruments of risk dispersalhave enabled the largest and most sophisticated banks, in their credit-granting role, todivest themselves of much credit risk by passing it to institutions with far less leverage.
Insurance companies, especially those in reinsurance, pension funds, and hedge funds
continue to be willing, at a price, to supply credit protection." Though less frequent,
there are also critical views on the e®ect of risk transfer activities by ¯nancial insti-
tutions. As Timothy Geithner, president of NY Fed, said it in a speech delivered on
February 28, 2006, "There are aspects of the latest changes in ¯nancial innovation that
could increase systemic risk in some circumstances" (Federal Reserve Bank of New York,
website, http://www.newyorkfed.org/newsevents/speeches/2006/gei060228.html).
An empirical analysis covering the extent of 论文英语论文网提供整理,提供论文代写英语论文代写代写论文代写英语论文代写留学生论文代写英文论文留学生论文代写相关核心关键词搜索。

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