Collateralized debt obligations: first loss piece retention, combination notes, and tranching
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang
2009
|
| Series: | Europäische Hochschulschriften
Series 5, Economies and management ; 3351 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 179 S. graph. Darst. |
| ISBN: | 9783631587959 |
Staff View
MARC
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| 245 | 1 | 0 | |a Collateralized debt obligations |b first loss piece retention, combination notes, and tranching |c Albert Schaber |
| 264 | 1 | |a Frankfurt am Main [u.a.] |b Lang |c 2009 | |
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| 490 | 1 | |a Europäische Hochschulschriften : Series 5, Economies and management |v 3351 | |
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Record in the Search Index
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|---|---|
| adam_text | Table of
contents
Table of Contents
List of Figures
............................... 10
List of Tables
................................ 12
List of Abbreviations
........................... 13
List of Symbols
.............................. 15
1
Introduction
.............................. 19
1.1
Motivation
............................. 19
1.2
Course of examination and main results
............. 22
Bibliography for chapter
1 ....................... 26
2
Selling the first loss piece in CLOs and the role of reputation
... 29
2.1
Introduction
............................ 29
2.2
The decision to securitize assets
................. 31
2.2.1
Raising funds
....................... 32
2.2.2
Risk transfer
........................ 33
2.2.3
Arbitrage
......................... 37
2.3
Security design from an agency perspective
........... 38
2.3.1
Ex ante asymmetries and adverse selection
........ 39
2.3.2
Ex post asymmetries and moral hazard
.......... 42
2.3.3
Implications and critical issues
.............. 43
2.4
Two models on asset securitization
................ 44
2.4.1
Model
1 :
Using CLOs to refinance growth opportunities
44
2.4.1.1
Model setup
.................. 44
2.4.1.2
Whole sale vs. securitization
.......... 47
2.4.1.3
Repeated securitization
............. 50
2.4.2
Model
2:
Using CLOs to manage regulatory capital
... 56
Table of
contents
2.4.2.1
Changes
to the model setup
.......... 56
2.4.2.2
Whole sale vs. securitization under the Basel
I regime
..................... 59
2.4.2.3
Whole sale vs. securitization under the Basel
II regime
.................... 63
2.4.2.4
Repeated securitization under the Basel
Π
regime
..................... 65
2.5
Discussion of main results and critical issues
........... 68
2.6
Conclusion
............................ 72
Appendix for chapter
2......................... 74
Appendix A: Existence of equilibria in the repeated game
-
model
1.......................... 74
Appendix B: Analysis of the repeated game in the regulatory
context
-
model
2..................... 75
Appendix B.I: Derivation of the threshold
Ρ
........... 75
Appendix B.2: Existence of equilibria in the repeated game
-
model
2.......................... 76
Bibliography for chapter
2....................... 81
Combination notes: Market segmentation and equity transfer
. . 87
3.1
Introduction
............................ 87
3.2
Derivation of hypotheses on the structuring and impact of com¬
bination notes
........................... 91
3.3
Data description and combination note properties
........ 93
3.3.1
General descriptive statistics
............... 93
3.3.2
Exploring the properties of combination notes
...... 98
3.4
Empirical analysis of combination notes
............. 100
3.4.1
Determinants for the tranching of combination notes
. . 100
3.4.1.1
The benchmark case
-
tranching of plain vanilla
tranches
..................... 103
3.4.1.2
Tranching of combination notes
........ 105
3.4.1.3
Tranching of combination notes versus the
deal
.......................107
Table of
contents
9
3.4.2
Combination
notes
and risk transfer
...........
Ill
3.4.2.1
Measuring equity transfer
...........
Ill
3.4.2.2
Equity transfer and deal characteristics
.... 112
3.4.2.3
Equity transfer and launch spreads
....... 115
3.5
Conclusion
............................ 125
Appendix for chapter
3......................... 127
Bibliography for chapter
3 ....................... 128
4
Asset pool quality and tranching of CDOs
............. 133
4.1
Introduction
............................ 133
4.2
Literature review
......................... 134
4.2.1
Theoretical aspects of tranching
............. 134
4.2.2
Existing empirical evidence on tranching
........ 137
4.3
Derivation of a transaction cost-based hypothesis of the number
of differently rated tranches
.................... 138
4.4
Empirical analysis of asset pool quality and tranching
...... 146
4.4.1
The
dataset
........................ 146
4.4.2
Available measures of asset pool quality
......... 149
4.4.3
A simulation of the number of differently rated tranches
152
4.4.4
Empirical findings on the tranching decision
....... 156
4.4.5
Empirical findings on the size of the junior and the se¬
nior tranche
........................ 163
4.5
Robustness of results
....................... 167
4.6
Summary of results and discussion
................ 170
4.7
Conclusion
............................ 171
Appendix for chapter
4......................... 173
Appendix A: Mean-preserving spread of the loss rate distribution
173
Appendix B: Numerical mapping of ratings
........... 174
Appendix C: Predicted probabilities for the ordered logit
analyses
.......................... 175
Bibliography for chapter
4....................... 177
|
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV035836796 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:05:46Z |
| institution | BVB |
| isbn | 9783631587959 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018695208 |
| oclc_num | 488687820 |
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| owner_facet | DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-29 DE-703 DE-2070s |
| physical | 179 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Lang |
| record_format | marc |
| series | Europäische Hochschulschriften |
| series2 | Europäische Hochschulschriften : Series 5, Economies and management |
| spelling | Schaber, Albert Verfasser aut Collateralized debt obligations first loss piece retention, combination notes, and tranching Albert Schaber Frankfurt am Main [u.a.] Lang 2009 179 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Europäische Hochschulschriften : Series 5, Economies and management 3351 Zugl.: München, Univ., Diss., 2009 Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Collateralized debt obligation (DE-588)7548936-3 s DE-604 Europäische Hochschulschriften Series 5, Economies and management ; 3351 (DE-604)BV000001798 3351 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018695208&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schaber, Albert Collateralized debt obligations first loss piece retention, combination notes, and tranching Europäische Hochschulschriften Collateralized debt obligation (DE-588)7548936-3 gnd |
| subject_GND | (DE-588)7548936-3 (DE-588)4113937-9 |
| title | Collateralized debt obligations first loss piece retention, combination notes, and tranching |
| title_auth | Collateralized debt obligations first loss piece retention, combination notes, and tranching |
| title_exact_search | Collateralized debt obligations first loss piece retention, combination notes, and tranching |
| title_full | Collateralized debt obligations first loss piece retention, combination notes, and tranching Albert Schaber |
| title_fullStr | Collateralized debt obligations first loss piece retention, combination notes, and tranching Albert Schaber |
| title_full_unstemmed | Collateralized debt obligations first loss piece retention, combination notes, and tranching Albert Schaber |
| title_short | Collateralized debt obligations |
| title_sort | collateralized debt obligations first loss piece retention combination notes and tranching |
| title_sub | first loss piece retention, combination notes, and tranching |
| topic | Collateralized debt obligation (DE-588)7548936-3 gnd |
| topic_facet | Collateralized debt obligation Hochschulschrift |
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