Large banks often sell part of their loan portfolio in the form of collateralized debt obligations cdo to investors. Introduction and conference overview franklin allen university of pennsylvania hans gersbach ruprechtkarlsuniversitat heidelberg jan pieter krahnen johann wolfgang goetheuniversitat frankfurt anthony m. This file is licensed under the creative commons attribution 2. In light of the failed negotiations with greece, jan krahnen argues that an effective reform agenda for greece can only be designed by the elected government.
This paper provides a detailed analysis of the call auction procedure on the frankfurt stock exchange. After completing an apprenticeship at the bhfbank, krahnen studied. Safe policy papers represent the authors personal opinions and do not necessarily reflect the views of the center of excellence safe or its staff. Jan pieter krahnen born 31 august 1954 is professor for corporate finance at the. In e is for evidence, pi kinsey millhone becomes the victim of a nasty frameup. 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. If it is competitive and rating companies are free to set their prices, theory predicts an inverse relationship.
Pdf risk transfer with cdos and systemic risk in banking. His current research focuses on the interaction of banks and markets, addressing interbank markets, securities trading, and loan securitisation. Evidence from creditfile data in germany ralf elsas and jan pieter krahnen this draft. European corporate governance institute ecgi finance working paper no. Otmar issing chairman, jan pieter krahnen, klaus regling, william white. Jan pieter krahnen1 and christian wilde2 march 1, 2006 abstract. Jan pieter krahnen born 31 august 1954 is professor for corporate finance at the goetheuniversity frankfurt and director of the center for financial studies and the research center safe. Your print orders will be fulfilled, even in these challenging times. Download guide for authors in pdf view guide for authors online. Risk transfer with cdos and systemic risk in banking by. Pdf krahnenschmidt, the german financial system 2004. He is a director of the center for financial studies cfs and the research center safe.
Jan pieter krahnen, january 2018 during the last three years 1. Krahnen demands that policy makers and the professional. D82, g21, d74 abstract this paper contributes to the economics of financial institutions risk management by exploring how loan securitization affects their default risk. As the uk leaves, an advocate of markets and free competition departs with negative consequences for the rest of the eu. I have served on the board or other executive or nonexecutive positions of the following companiesinstitutions.
We also thank fabio braggion and falko fecht for providing valuable comments 1 european business school ebs wiesbaden, cfs and ce ntre for european economic research zew mannheim. In this paper we analyse the problems of multiple banking in borrower distress empirically. Disclosure form jpk 16feb18 goethe university frankfurt. Subscribe to this free journal for more curated articles on this topic followers 2,582 papers. Krahnen, jan pieter and wilde, christian, risk transfer with cdos and systemic risk in banking june 5, 2006. He is a director of the center for financial studies cfs and the. Enter your mobile number or email address below and well send you a link to download the free kindle app. Do economic union and monetary union require a fiscal union or even a. Total downloads of all papers by jan pieter krahnen.
Preparatory comments for the g20 meeting in pittsburgh to be held on september 24, 2009 by. This free service is available to anyone who has published and whose publication is in. We suggest a number of principles that ought to be met by good rating practice. Marcel and krahnen, jan pieter, systemic risk in an interconnected banking system with endogenous asset markets march 30, 2014. Professors otmar issing and jan pieter krahnen were called as expert witnesses. This paper develops a comprehensive framework for evaluating the quality of standard rating systems. Schmidt the reader comes away from the book with an excellent overview of the german banking system, a good idea of the types and position of institutiona l investors. The contribution of collateralized debt obligations, nber working papers 11741, national bureau of economic research, inc.
Jan pieter krahnen, fachbereich wirtschaftswissenschaften, house of finance, goethe. April 22, 2005 abstract this paper contributes to the economics of. The threestage model for deposit insurance outlined below builds on existing. Download this paper open pdf in browser add paper to my library. Then you can start reading kindle books on your smartphone, tablet, or computer no kindle device required. In this paper we challenge the view that corporate bonds are always arms length debt. Krahnen, jan pieter and wilde, christian, skininthegame in abs transactions. Check to see if you are eligible for free downloads become a subscriber. Risk transfer with cdos and systemic risk in banking jan pieter krahnen, christian wilde june 5.
This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. Bank internal ratings of corporate clients are intended to quantify the expected likelihood of future borrower defaults. Over 15,000 readers in our global community enjoy our free industry analysis, peer commentary, videos, podcasts and webinars. Uri benzion a, jan pieter krahnen b, tal shavit c this paper uses experimental data to estimate the pure time discount rate for different lengths of times for riskless assets bonds, and risky assets delayed lotteries. If it is competitive and rating companies are free to set their prices, theory predicts an inverse relationship between the rating class ranging from high to low quality and the effective interest rate of the bond in question ranging from high to low rates.
Jan pieter krahnen the latest news about jan pieter krahnen from the wsj the source blog. Its main contribution is to develop a direct measure of the execution costs in a call auction that is comparable to the bidask spread in a continuous market. Krahnen holds the chair of corporate finance at goethe universitys house of. Franke, guenter and krahnen, jan pieter, default risk sharing between banks and markets. Schmidt, editors, the german financial system, oxford. There are 2 versions of this paper risk transfer with cdos and systemic risk in banking. Fundamental reforms will take time to take full effect and euro area member states will, in the meantime, have to offer greece a basic level of economic security. Jan pieter krahnen in this note, a new concept for a european deposit guarantee scheme is proposed, which takes account of the strong political reservations against a mutualization of the liability for bank deposits. On january 1, 2020, there were 1,581 nberaffiliated researchers based at 180 institutions. However, if the firms are facing distress, multiple lenders may have serious coordination problems, as has been argued in the theoretical literature. Center for financial studies the center for financial studies is a nonprofit research organization, supported by an association of more than 120 banks, insurance companies, industrial corporations and public institutions. 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. February 24, 1998 abstract the german financial market is often characterized as a bankbased system with strong bankcustomer relationships. His current research focuses on the interaction of banks and markets, addressing interbank markets, securities trading and loan securitization and.
Jan pieter krahnen goethe university frankfurt personal homepage. Derivsource is an independent information source for derivatives professionals. Information production in credit relationships 4 rating information. Established in 1968 and closely affiliated with the university of. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ranging from low to high. The contribution of collateralized debt obligations november 2005. Uwe walz we would like to thank richard cantor for providing moodys ratings data. The testimony began with a general discussion on the elements considered necessary for a functioning internal market. Subscribe to this free journal for more curated articles on this topic followers. Systemic risk in an interconnected banking system with. Thomas kohnen, md, phd, febo editorial board american. Wsjs the source blog looks at stories behind europes headlines on business, finance, companies. Multiple banking is a common characteristic of the corporate lending, particularly of mediumsized and large firms. In this paper we raise the question whether credit asset securitization affects the cyclicality or commonality of bank equity values.