Abstract：This paper analyzes the impact of European credit derivatives CDO (Collateralized Debt Obligation) issuance on the financial market stability. This paper studies the relationship between CDO issuance volume, market volatility, Europe 6-months risk-free interest rate and the stability of financial market with the co-exceedances method and the Poisson Count model. We find that the linkage effect of the intermediation between financial institutions increases the systemic risk in the financial market; CDO issuance is only positively related to the negative coexceedances, suggesting that the greater amount of CDO issuance, the greater impact on financial stability. CDO issuance is not related to the positive coexceedances, indicating that the role of banks in CDO risk management is limited. In addition, the asymmetric information and risk-free interest rate also affect the stability of financial market.
2012, Vol. 1 
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