Publikation:

Tranching and Pricing in CDO-Transactions

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Franke.pdf
Franke.pdfGröße: 391.8 KBDownloads: 515

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2011

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-112744
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Zusammenfassung

This paper empirically investigates the tranching and tranche pricing of European securitization transactions of corporate loans and bonds. Tranching allows the originator to issue bonds with strong quality differences and thereby attract heterogeneous investors. We find that the number of differently rated tranches in a transaction is inversely related to the quality of the underlying asset pool. Credit spreads on rated tranches in a transaction are inversely related to the number of tranches. For all rated tranches in a transaction, the average price for transferring a unit of expected default loss is inversely related to the default probability of the underlying asset pool. For a tranche, this price increases with the rating of the tranche; it is higher for the lowest rated tranche and very high for Aaa-tranches in true sale-transactions. It varies little across butterfly spreads obtained from rated tranches except for the most senior spread.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Securitization, information asymmetries, tranching of asset portfolios, risk premiums of tranches

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ISO 690FRANKE, Günter, Thomas WEBER, 2011. Tranching and Pricing in CDO-Transactions
BibTex
@unpublished{Franke2011Tranc-1841,
  year={2011},
  title={Tranching and Pricing in CDO-Transactions},
  author={Franke, Günter and Weber, Thomas}
}
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