ABS CDO在金融危机中的作用

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Structured Finance Pub Date : 2019-07-31 DOI:10.3905/jsf.2019.1.072

Larry Cordell, G. Feldberg, Danielle Sass

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引用次数: 9

摘要

我们研究了资产支持证券抵押债券（ABS CDO）作为金融危机主要催化剂的作用。我们展示了ABS CDO如何成为自有品牌抵押贷款市场中风险最高的投资级证券的主要投资工具。我们估计ABS CDO的最终减记总额为4100亿美元，其中3250亿美元由AAA和“超高级”证券承担，这些证券的资本、保证金或流动性要求最低。危机前的法规允许一些投资这些证券的公司过度举债，危及其偿付能力，并将其置于金融危机的中心。主题：资产支持证券（ABS）、信贷风险管理、金融危机和金融市场历史

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Role of ABS CDOs in the Financial Crisis

We examine the role of asset-backed security collateralized debt obligations (ABS CDOs) as a primary catalyst for the financial crisis. We show how ABS CDOs became the main investment vehicle for the riskiest investment-grade securities in the private-label mortgage market. We estimate a final tally of writedowns on ABS CDOs, $410 billion in total, with $325 billion assumed by AAA and “super-senior” securities, which had minimal capital, margin, or liquidity requirements. Pre-crisis regulations allowed excessive leverage at some firms investing in these securities, imperiling their solvency and placing them at the center of the financial crisis. TOPICS: Asset-backed securities (ABS), credit risk management, financial crises and financial market history

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来源期刊

Journal of Structured Finance BUSINESS, FINANCE-

CiteScore

0.60

自引率

25.00%

发文量

期刊介绍： The Journal of Structured Finance (JSF) is the only international, peer-reviewed journal devoted to empirical analysis and practical guidance on structured finance instruments, techniques, and strategies. JSF covers a wide range of topics including credit derivatives and synthetic securitization, secondary trading in the CDO market, securitization in emerging markets, trends in major consumer loan categories, accounting, regulatory, and tax issues in the structured finance industry.