Riesgo sistemático y titulización. Metodología de estudio de eventos para el caso español

• Autores: María del Carmen López Andión, Celia López Penabad, Ana Iglesias Casal, José Manuel Maside Sanfiz
• Localización: Cuadernos de economía y dirección de la empresa, ISSN 1138-5758, Vol. 16, Nº 3, 2013, págs. 205-216
• Idioma: español
• DOI: 10.1016/j.cede.2012.11.004
• Texto completo no disponible (Saber más ...)
• Dialnet Métricas: 3 Citas
• Referencias bibliográficas
  • Allen F., Gale D. Systemic risk and regulations. The Risks of Financial Institutions 2006, 341-376. University of Chicago Press, Chicago,...
  • Association for Financial Markets in Europe (AFME), 2011. Securitisation Data Report. Disponible en: http://www.afme.eu [consultado 13 Sep...
  • Bannier C.E., Hänsel D., 2008. Determinants of European Banks' Engagement in Loan Securitization. Working paper, 10/2008. Deutsche Bundesbank....
  • Calem P.S., Lacour-Little M. Risk-based capital requirements for mortgage loans. Journal of Banking and Finance 2003, 28:647-672.
  • Cardone-Riportella C., Samaniego-Medina R., Trujillo-Ponce A. What drives bank securitisation? The Spanish experience. Journal of Banking...
  • Catarineu E., Pérez D. La titulización de activos por parte de las entidades de crédito: El modelo español en el contexto internacional y...
  • Cyree K.B., DeGennaro R.P. A generalized method for detecting abnormal returns and changes in systematic risk. Review of Quantitative Finance...
  • DeMarzo P.M. The pooling and tranching of securities: A model of informed intermediation. Review of Financial Studies 2005, 18(1):1-35.
  • Dionne G., Harchaoui T.M., 2003. Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada. Working paper, 03-01....
  • Douglas W.D., Raghuram G.R. The credit crisis: Conjectures about causes and remedies. American Economic Review 2009, 99(2):606-610.
  • Farhi E., Tirole J. Leverage and the central banker's put. American Economic Review 2009, 99(2):589-593.
  • Franke G., Krahnen J.P. Default risk sharing between banks and markets: The contribution of collateralized debt obligations. The Risks of...
  • Fuentes Egusquiza I., 2007. La titulización en España: Principales características. Boletín Económico del Banco de España. diciembre, 90-98.
  • Hänsel D.N., Krahnen J.P., 2007. Does Credit Securitization Reduce Bank Risk? Evidence from the European CDO Market 29. SSRN working paper....
  • Instefjord N. Risk and hedging: Do credit derivates increase bank risk? Evidence from the European CDO market. Journal of Banking & Finance...
  • Jiangli W., Pritsker M., Paupach P. Banking and Securitization, Working Paper, FDIC. Federal Reserve Board and Deutsche Bundesbank 2007.
  • Jiangli W., Pritsker M. The impacts of securitization on US bank holding companies. Federal Reserve Bank of Chicago Proceedings 2008, (May):377-393.
  • Leland H.E. Financial synergies and the optimal scope of the firm: Implications for mergers, spinoffs, and structured finance. Journal of...
  • Lockwood L.J., Kadiyala K.R. Risk measurement for event dependent security returns. Journal of Business and Economic Statistics 1988, 6(1):43-49.
  • Lockwood L.J., Rutherford R.C., Herrera M.J. Wealth effects of asset securitization. Journal of Banking & Finance 1996, 20(January):151-164.
  • Martín-Oliver A., Saurina J., 2007. Why do Banks Securitize Assets? Mimeo, Banco de España.
  • Martínez-Solano P., Yagüe-Guirao J., López-Martínez F. Asset securitization: Effects on value of banking institutions. The European Journal...
  • Merton R.C. Financial innovation and the regulation of financial institutions. Journal of Banking and Finance 1995, 19(3-4):461-481.
  • Nijskens R., Wagner W. Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks...
  • Purnanandam A. Originate to distribute model and the subprime mortgage crisis. Review of Financial Studies 2009, 24(6):1881-1915.
  • Riddiough T.J. Optimal design of asset backed securities. Journal of Financial Intermediation 1997, 6:121-152.
  • Shin H.S. Securitisation and Financial Stability. The Economic Journal 2009, 119:309-332.
  • Uhde A., Michalak T.C. Securitization and systematic risk in European banking: Empirical evidence. Journal of Banking & Finance 2010,...
  • Uzun H., Webb E. Securitization an risk: Empirical evidence on US banks. Journal of Risk Finance 2007, 8:353-369.