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Investors, the Securitization of Bad Loans, and the Probability of Default

In: Management Risk

Author

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  • Dimitris N. Chorafas

Abstract

As reported in a New York Times article, Citibank, a major lender to Enron, apparently protected itself from a significant portion of its Enron’s credit risk by passing it on to investors in credit-linked bonds. What the article did not mention, however, was that Citibank accomplished this risk transfer through an innovative transaction that combined credit derivatives and insurance with traditional securitization.1

Suggested Citation

  • Dimitris N. Chorafas, 2004. "Investors, the Securitization of Bad Loans, and the Probability of Default," Palgrave Macmillan Books, in: Management Risk, chapter 11, pages 192-212, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-4039-4810-6_11
    DOI: 10.1057/9781403948106_11
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