Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes

Abstract

Abstract: This article makes an attempt to present the economics of credit securitisation in a non-technical way, starting from the description and the analysis of a typical securitisation transaction. The article sketches a theoretical explanation for why tranching, or non-proportional risk sharing, which is at the heart of securitisation transactions, may allow commercial banks to maximize their shareholder value. However, the analysis also makes clear that the conditions under which credit securitisation enhances welfare are fairly restrictive, and require not only an active role on the part of the banking supervisory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort.

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