Credit risk securitisation: a valuation study
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Dt. Univ.-Verl.
2004
|
| Ausgabe: | 1. Aufl. |
| Schriftenreihe: | Gabler Edition Wissenschaft
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVII, 210 S. graph. Darst. 21 cm |
| ISBN: | 3824482428 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
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| 003 | DE-604 | ||
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| 100 | 1 | |a Schirm, Antje |d 1975- |e Verfasser |0 (DE-588)129622125 |4 aut | |
| 245 | 1 | 0 | |a Credit risk securitisation |b a valuation study |c Antje Schirm. With a forew. by Wolfgang Bühler |
| 250 | |a 1. Aufl. | ||
| 264 | 1 | |a Wiesbaden |b Dt. Univ.-Verl. |c 2004 | |
| 300 | |a XXVII, 210 S. |b graph. Darst. |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Gabler Edition Wissenschaft | |
| 502 | |a Zugl.: Mannheim, Univ., Diss., 2004 | ||
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Securitization |0 (DE-588)4140657-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-013104163 | ||
Datensatz im Suchindex
| _version_ | 1804133260994805760 |
|---|---|
| adam_text | Contents
1 Introduction 1
1.1 Securitisation: traded portfolio credit risk 1
1.2 Contributions of the study 4
1.3 Outline of the study 5
2 Credit Risk Securitisation: Structures and Risk Factors 7
2.1 Prom cash flow allocation to default loss transfer 7
2.1.1 CDOs within the asset securitisation context 7
2.1.2 Tranched default loss transfer 12
2.2 Classification of structures 14
2.2.1 Contractual form of risk transfer 14
2.2.1.1 Outline 14
2.2.1.2 True sale transactions 15
2.2.1.2.1 Institutional implementation 15
2.2.1.2.2 Cash flow characteristics 16
2.2.1.3 Synthetic securitisation 23
2.2.1.3.1 Institutional implementation 23
2.2.1.3.2 Cash flow characteristics 28
2.2.2 The counterparties motivations 33
2.2.2.1 Perception of trading gains: arbitrage CDOs 33
2.2.2.2 Capital relief: balance sheet CDOs 34
2.2.2.2.1 Incentives 34
2.2.2.2.2 Regulatory recognition of credit risk transfer ... 35
2.2.3 Risk factors: cash flow and market value CDOs 37
X
2.3 Literature review: modelling underlying portfolio credit risk 38
2.3.1 Model requirements for CDO valuation 38
2.3.2 Modelling single name default risk 38
2.3.3 Modelling default dependencies 40
2.3.4 Application to multi name derivative pricing 42
3 Underlying Credit Risk: a Reduced Form Factor Model 45
3.1 Defaultable bond pricing 45
3.2 Factor model specification 50
3.2.1 Factor structure 50
3.2.2 Corporate spreads as observable functions of factors 53
3.2.3 Model implications: term structures of volatilities and
term structures of correlations 56
4 Model Estimation 59
4.1 Outline of the estimation approach 59
4.2 Bond data for corporate spread estimation 62
4.3 Obtaining implied corporate spreads 65
4.3.1 Default free and defaultable term structure estimation 65
4.3.2 Statistical analysis of term structures 68
4.3.3 Error analysis: residual effects of liquidity proxies and
sector affiliation 74
4.4 Factor process estimation 79
4.4.1 Selection of estimation procedure 79
4.4.2 The factor model in state space form 83
4.4.2.1 Transition equation 83
4.4.2.2 Measurement equations 84
4.4.3 Parameter estimation 85
4.4.3.1 Likelihood construction 85
4.4.3.2 Technical notes on implementation 86
4.4.4 Results and implications 88
4.5 Explanatory power of the model 94
XI
4.5.1 Explanation of individual term structures 94
4.5.2 Explanation of spread comovement 96
4.6 Summary of results 98
5 CDOs: Valuation and Model Specification 101
5.1 A basic valuation model 101
5.1.1 CDO valuation: fair issuance premia 101
5.1.2 Large portfolio loss properties 107
5.1.2.1 Characterisation of portfolio losses 107
5.1.2.2 Specification: class assignments 108
5.1.2.3 Reference claim valuation 110
5.1.2.4 Implementation of simulation 113
5.1.3 CDO valuation: results for the base case 114
5.1.3.1 Fair premia and tranche loss allocation 114
5.1.3.2 Assessment of two identification problems 118
5.1.3.2.1 Factor space dimensionality 118
5.1.3.2.2 Mean loss rate decomposition of reference asset
spreads 123
5.1.3.3 Impact of issuance timing: factor realisations at origina¬
tion 126
5.1.3.4 Impact of the tenor: term structures of CDO premia . . . 127
5.2 Comparative static analysis of model parameters 130
5.2.1 Impact of factor volatilities and dependence structure 131
5.2.2 Impact of portfolio quality 134
5.2.3 Impact of market price of risk parameters 137
5.3 Summary of results 141
6 The Relevance of Credit Enhancements 145
6.1 Effect on tranche loss allocation 145
6.2 Spread accounts: dynamic improvement of overcollateralisation ratios . . . 147
6.3 Full portfolio risk transfer 150
6.3.1 Problem 150
XII
6.3.2 Fair premia 153
6.3.3 Funded reserve accounts 156
6.4 Synthetic partial portfolio risk transfer 159
6.4.1 Problem 159
6.4.2 Fair premia 162
6.5 Summary and evaluation of the hedging quality of spread accounts 164
7 Empirical Pricing Comparison: the Case for Synthetic CBOs 169
7.1 Market environment and sample selection 169
7.2 Sample transactions 172
7.3 Rating assessments and tranche valuation 176
7.3.1 Variables of interest 176
7.3.2 Timeline of CDO issuance 177
7.3.3 Comparison of tranche valuation 179
7.4 Discussion 181
7.4.1 Model specification error 181
7.4.2 Relation to the institutional environment: arbitrage
CDOs? 184
8 Conclusion 187
A Annotations to the CIR Model 191
B Outline of the Kalman Filter Recursion 193
C Complementary Tables 197
Bibliography 205
List of Tables
4.1 Corporate and government bond sample overview 64
4.2 Corporate rating migrations during sample period 65
4.3 Parameter estimates of Nelson/Siegel term structures 68
4.4 Statistics on term structures of riskless interest rates and corporate spot
spreads 70
4.5 Comovement of corporate spreads and relationship between spreads and
riskless interest rates 73
4.6 Statistics on pricing errors of individual coupon bonds 75
4.7 Explanation of pricing residuals by liquidity proxies and sector affiliation
of the issuer 77
4.8 Parameter estimates for the factor model and estimated standard devia¬
tions of measurement noise 89
4.9 Pairwise correlations among class specific mean loss rates under the physi¬
cal and the risk neutral measure 93
4.10 Statistics on residuals of the factor model 99
4.11 Within sample correlations between estimated factor series 100
4.12 Residual correlation between term structures of corporate spot spreads . . 100
5.1 Tranche valuation in base case 115
5.2 Statistics on risk neutral loss distributions: relevance of factor space di¬
mensionality 119
5.3 Five year reference asset par spreads as functions of initial factor values. . 127
5.4 Reference asset par spreads as functions of time to maturity 129
5.5 Reference asset par spread adjustment on mean factor level changes .... 136
5.6 Expected loss allocation to tranches: effect of factor risk valuation 142
XIV
6.1 Credit enhancement by a funded reserve account: positions held by the
originator, variant I 157
6.2 Credit enhancement by a funded reserve account: positions held by the
originator, variant II 159
6.3 Effectiveness of risk transfer under the examined capital structures 166
7.1 Term sheet Repon 15 172
7.2 Term sheet Scala 3 173
7.3 Term sheet Repon 16 174
7.4 Term sheet Private 175
C.I Parameter estimates for the factor model and estimated standard devia¬
tions of measurement noise, short period 198
C.2 Tranche valuation: full risk transfer via SPV, variant I 199
C.3 Tranche valuation: full risk transfer via SPV, variant II 200
C.4 Tranche valuation: partial risk transfer via SPV, variant I 201
C.5 Tranche valuation: partial risk transfer via SPV, variant II 202
C.6 Tranche valuation: partial risk transfer via SPV, variant III 203
List of Figures
1.1 European securitisation issuance 3
2.1 Institutional implementation and cash flows of a true sale securitisation
structure 15
2.2 Synthetic securitisation I: senior/subordinated portfolio CLNs 25
2.3 Synthetic securitisation II: full portfolio risk transfer via SPV 26
2.4 Synthetic securitisation III: partial portfolio risk transfer via SPV 27
4.1 Corporate spread term structure evolution 69
4.2 Term structures of corporate spreads, low spread and high spread environ¬
ment 72
4.3 Corporate spread term structure evolution 92
4.4 Term structures of volatilities of riskless interest rates and corporate spreads
of different risk levels 95
4.5 Term structures of correlation between corporate spreads of different risk
levels 96
5.1 Senior premium for base case as a function of tranche size/overcollateralisation
(OC) 116
5.2 Mezzanine premium for base case as a function of tranche position and size. 117
5.3 Estimated risk neutral loss density functions: relevance of factor space di¬
mensionality 120
5.4 Senior premium for base case: relevance of factor space dimensionality . . . 120
5.5 Expected loss allocation to junior tranche: relevance of factor space dimen¬
sionality 121
5.6 Mezzanine premium for base case: relevance of factor space dimensionality 122
XVI
5.7 Response of loss distribution to a change in the LGD, holding mean loss
rates constant 125
5.8 Premia of CDO tranches as a function of the LGD, holding mean loss rates
constant 126
5.9 Premia of CDO tranches as a function of the factor realisation at origination. 128
5.10 Term structures of CDO premia 129
5.11 Variation of factor volatilities: premia of Risky CDO tranches as functions
of the common factor volatility parameter 132
5.12 Variation of factor volatilities: premia of Safe CDO tranches as functions
of the common factor volatility parameter 133
5.13 Standard deviation of discounted losses as a function of reference portfolio
quality 137
5.14 Variation of reference portfolio quality: premia of Risky CDO tranches as
functions of factor means 138
5.15 Variation of reference portfolio quality: premia of Safe CDO tranches as
functions of factor means 139
5.16 Variation of factor risk valuation: response of loss distribution to a change
in market price of factor risk parameters 140
5.17 Variation of factor risk valuation: premia of CDO tranches as a function
of market price of factor risk parameters 141
6.1 Annualised premium of senior tranche: synthetic SPV spread account col¬
lecting the spread income of the entire reference portfolio 154
6.2 Annualised premium of mezzanine tranche: synthetic SPV spread account
collecting the spread income of the entire reference portfolio 155
6.3 Credit enhancement by a funded reserve account: Risky structure 157
6.4 Credit enhancement by a funded reserve account: Safe structure 158
6.5 Senior premium: partial risk transfer via SPV 163
6.6 Mezzanine premium: partial risk transfer via SPV 164
6.7 Expected mezzanine loss rate: partial risk transfer via SPV 165
7.1 Timeline of synthetic CBO issuance activity, estimated factor paths, and
five year model par spreads 186
|
| any_adam_object | 1 |
| author | Schirm, Antje 1975- |
| author_GND | (DE-588)129622125 |
| author_facet | Schirm, Antje 1975- |
| author_role | aut |
| author_sort | Schirm, Antje 1975- |
| author_variant | a s as |
| building | Verbundindex |
| bvnumber | BV019778149 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)614660901 (DE-599)BVBBV019778149 |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV019778149 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:05:54Z |
| institution | BVB |
| isbn | 3824482428 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013104163 |
| oclc_num | 614660901 |
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| owner_facet | DE-703 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-188 |
| physical | XXVII, 210 S. graph. Darst. 21 cm |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Dt. Univ.-Verl. |
| record_format | marc |
| series2 | Gabler Edition Wissenschaft |
| spelling | Schirm, Antje 1975- Verfasser (DE-588)129622125 aut Credit risk securitisation a valuation study Antje Schirm. With a forew. by Wolfgang Bühler 1. Aufl. Wiesbaden Dt. Univ.-Verl. 2004 XXVII, 210 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Gabler Edition Wissenschaft Zugl.: Mannheim, Univ., Diss., 2004 Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Securitization (DE-588)4140657-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Securitization (DE-588)4140657-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013104163&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schirm, Antje 1975- Credit risk securitisation a valuation study Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Securitization (DE-588)4140657-6 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4114528-8 (DE-588)4140657-6 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Credit risk securitisation a valuation study |
| title_auth | Credit risk securitisation a valuation study |
| title_exact_search | Credit risk securitisation a valuation study |
| title_full | Credit risk securitisation a valuation study Antje Schirm. With a forew. by Wolfgang Bühler |
| title_fullStr | Credit risk securitisation a valuation study Antje Schirm. With a forew. by Wolfgang Bühler |
| title_full_unstemmed | Credit risk securitisation a valuation study Antje Schirm. With a forew. by Wolfgang Bühler |
| title_short | Credit risk securitisation |
| title_sort | credit risk securitisation a valuation study |
| title_sub | a valuation study |
| topic | Kreditrisiko (DE-588)4114309-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Securitization (DE-588)4140657-6 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kreditrisiko Mathematisches Modell Securitization Risikomanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013104163&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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