Securitisation and its Impact on Financial Market Stability

University of Frankfurt Finance Working Paper No. 336

28 Pages Posted: 26 Apr 2005

Date Written: October 2003

Abstract

In this paper we aim to establish an intrinsic connection between asset securitisation and financial market stability in the light of altered financial intermediation. After a brief presentation of the nature of securitisation per se, we introduce both theoretical considerations and empirical observations to identify possible sources of systemic risk in loan securitisation. In particular, we focus on asymmetric information and the security design as determined by the tradability of credit risk transfer. We argue that regulatory disregard of these issues does not only destabilise securitisation markets but also induce profound disruptions to mutual payment obligations of financial intermediaries.

JEL Classification: D81, G15, M20

Suggested Citation

Jobst, Andreas A., Securitisation and its Impact on Financial Market Stability (October 2003). University of Frankfurt Finance Working Paper No. 336, Available at SSRN: https://ssrn.com/abstract=706502 or http://dx.doi.org/10.2139/ssrn.706502

Andreas A. Jobst (Contact Author)

Central Bank of the UAE ( email )

Abu Dhabi, Abu Dhabi
United Arab Emirates
+971-543439374 (Phone)

HOME PAGE: http://https://www.linkedin.com/in/andyjobst/