This paper contributes to the economics of financial institutions risk management by exploring how loan securitization affects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the...

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...

This paper makes an attempt to present the economics of credit securitization in a nontechnical way, starting from the description and the analysis of a typical securitization transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is...

This paper contributes to the economics of financial institutions risk management by exploring how loan securitization a.ects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the...

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...

This paper makes an attempt to present the economics of credit securitisation in a nontechnical way, starting from the description and the analysis of a typical securitisation transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is...

This paper makes an attempt to present the economics of credit securitisation in a nontechnical way, starting from the description and the analysis of a typical securitisation transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is...