Loss Allocation in Securitization Transactions

Franke, Günter; Herrmann, Markus; Weber, Thomas

Loss Allocation in Securitization Transactions

Dateien

Franke_0-270944.pdf(707.92 KB)

Datum

2011

Autor:innen

Franke, Günter

Herrmann, Markus

Weber, Thomas

Schriftenreihe

Working Paper Series / Department of Economics; 2011-22

Publikationstyp

Working Paper/Technical Report

Zusammenfassung

This paper analyses the loss allocation to First, Second and Third Loss Positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool quality, but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin´s Q prefer synthetic transactions.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Securitization, collateralized debt obligations, asset pool quality, First Loss Position, synthetic transactions

Zitieren

ISO 690

FRANKE, Günter, Markus HERRMANN, Thomas WEBER, 2011. Loss Allocation in Securitization Transactions

BibTex

@techreport{Franke2011Alloc-29928,
  year={2011},
  series={Working Paper Series / Department of Economics},
  title={Loss Allocation in Securitization Transactions},
  number={2011-22},
  author={Franke, Günter and Herrmann, Markus and Weber, Thomas}
}

RDF

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/29928">
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:contributor>Franke, Günter</dc:contributor>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-02-20T09:16:02Z</dcterms:available>
    <dc:creator>Franke, Günter</dc:creator>
    <dc:creator>Weber, Thomas</dc:creator>
    <dc:contributor>Weber, Thomas</dc:contributor>
    <dc:contributor>Herrmann, Markus</dc:contributor>
    <dc:language>eng</dc:language>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-02-20T09:16:02Z</dc:date>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:creator>Herrmann, Markus</dc:creator>
    <dcterms:title>Loss Allocation in Securitization Transactions</dcterms:title>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29928/3/Franke_0-270944.pdf"/>
    <dcterms:abstract xml:lang="eng">This paper analyses the loss allocation to First, Second and Third Loss Positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool quality, but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin´s Q prefer synthetic transactions.</dcterms:abstract>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/29928/3/Franke_0-270944.pdf"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/29928"/>
    <dcterms:issued>2011</dcterms:issued>
    <dc:rights>terms-of-use</dc:rights>
  </rdf:Description>
</rdf:RDF>

Universitätsbibliographie

Ja