Information asymmetries and securitization design

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:db4aeb014acada4262ce1383f364babb

FRANKE, Günter, Markus HERRMANN, Thomas WEBER, 2007. Information asymmetries and securitization design

@techreport{Franke2007Infor-11787, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Information asymmetries and securitization design}, year={2007}, number={2007/10}, author={Franke, Günter and Herrmann, Markus and Weber, Thomas} }

Herrmann, Markus deposit-license Weber, Thomas Information asymmetries and securitization design 2007 Franke, Günter eng 2011-03-25T09:40:16Z Franke, Günter Herrmann, Markus Weber, Thomas application/pdf 2011-03-25T09:40:16Z The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these transactions is the information asymmetry between the originator and the investors. First Loss Positions are the most important instrument to mitigate conflicts due to information asymmetry. We analyse the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt obligation transactions. We find that the asset pool quality, measured by the weighted average default probability and the diversity score of the pool, plays a predominant role for the transaction design. Characteristics of the originator<br />play a small role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses, independent of the asset pool quality. This loss share and the asset pool quality strongly affect the rating and the credit spread of the lowest rated tranche.

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

cofe_dp07_10.pdf 183

Das Dokument erscheint in:

deposit-license Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: deposit-license

KOPS Suche


Stöbern

Mein Benutzerkonto