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Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

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  • Krahnen, Jan Pieter

Abstract

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 at the heart of securitization transactions, may allow commercial banks to maximize their shareholder value. However, the analysis makes also clear that the conditions under which credit securitization enhances welfare, are fairly restrictive, and require not only an active role of the banking supervisiory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort.

Suggested Citation

  • Krahnen, Jan Pieter, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," CFS Working Paper Series 2005/05, Center for Financial Studies (CFS).
    • Handle: RePEc:zbw:cfswop:200505
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    References listed on IDEAS

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    Cited by:

    1. Bannier, Christina E. & Hänsel, Dennis N., 2007. "Determinants of banks' engagement in loan securitization," Frankfurt School - Working Paper Series 85, Frankfurt School of Finance and Management.
    2. Schäfer Klaus, 2011. "Die große Finanzmarktkrise – Eine staatswissenschaftlichfinanzsoziologische Untersuchung: Ein Kommentar zum gleichnamigen Buch von Helge Peukert," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 62(1), pages 609-613, January.
    3. Hänsel, Dennis N. & Bannier, Christina E., 2008. "Determinants of European banks' engagement in loan securitization," Discussion Paper Series 2: Banking and Financial Studies 2008,10, Deutsche Bundesbank.
    4. D. Colander & H. Follmer & A. Haas & M. Goldberg & K. Juselius & A. Kirman & T. Lux & B. Sloth, 2010. "The Financial Crisis and the Systemic Failure of Academic Economics," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
    5. Bernd Rudolph, 2008. "Lehren aus den Ursachen und dem Verlauf der internationalen Finanzkrise," Schmalenbach Journal of Business Research, Springer, vol. 60(7), pages 713-741, November.
    6. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
    7. Bobek, Andreas & Bohm, Thomas & Neuner, Stefan & Paintner, Sandra & Schmeußer, Stefanie & Waldvogel, Felix, 2011. "Ökonomische Analyse europäischer Bankenregulierung: Verbriefung und Interbankenmarkt im Fokus," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-01, University of Bayreuth, Chair of Finance and Banking.
    8. Scholz, Julia, 2008. "Auswirkungen vertikaler Kollusionsprobleme auf die vertragliche Ausgestaltung von Kreditverkäufen," Discussion Papers in Business Administration 4581, University of Munich, Munich School of Management.
    9. Günter Franke & Jan P. Krahnen, 2009. "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 10(4), pages 335-366, November.

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    More about this item

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D74 - Microeconomics - - Analysis of Collective Decision-Making - - - Conflict; Conflict Resolution; Alliances; Revolutions

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