13. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations

Chapters in this book

1. Frontmatter i
2. Contents vii
3. Acknowledgments xi
4. Introduction 1
5. I. Market Risk, Risk Modeling, and Financial System Stability
6. 1. Bank Trading Risk and Systemic Risk 29
7. 2. Estimating Bank Trading Risk: A Factor Model Approach 59
8. II. Systemic Risk
9. 3. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 105
10. 4. Banking System Stability: A Cross-Atlantic Perspective 133
11. 5. Bank Concentration and Fragility: Impact and Mechanics 193
12. 6. Systemic Risk and Hedge Funds 235
13. III. Regulation
14. 7. Systemic Risk and Regulation 341
15. 8. Pillar 1 versus Pillar 2 under Risk Management 377
16. IV. New Frontiers in Risk Measurement
17. 9. Global Business Cycles and Credit Risk 419
18. 10. Implications of Alternative Operational Risk Modeling Techniques 475
19. 11. Practical Volatility and Correlation Modeling for Financial Market Risk Management 513
20. 12. Special Purpose Vehicles and Securitization 549
21. 13. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations 603
22. Biographies 635
23. Contributors 639
24. Author Index 643
25. Subject Index 651