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Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs
Scholz, Julia - 2011
Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan Obligations für das Jahr 2009. Der Fokus liegt dabei auf der Bedeutung der performanceabhängigen Vergütung des CLO-Managers, den Eigenschaften des CLO-Managers und der...
Persistent link: https://www.econbiz.de/10008903410
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Securitisation of mezzanine capital in Germany
Franke, Günter; Hein, Julia - 2007
A recent trend in the German Asset Backed Securities (ABS) market is the securitisation of subordinated loans and profit participation agreements (PPAs) granted to medium-sized enterprises (MEs). This paper provides an overview of this growing market and analyses the benefits of such...
Persistent link: https://www.econbiz.de/10003876690
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Information asymmetries and securitization design
Franke, Günter; Herrmann, Markus; Weber, Thomas - 2007
of the lowest rated tranche. -- Securitization ; collateralized debt obligations ; asset pool quality ; First Loss … Position ; synthetic transactions ; tranching …
Persistent link: https://www.econbiz.de/10003876706
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Dodd-Frank, Securitization, and the Subprime Mortgage Crisis
Hoffman, Stephen P. - 2013
mortgages. Then, I analyze the process of securitization, as used in corporate finance to raise funding, and explain how these …
Persistent link: https://www.econbiz.de/10013090228
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Asset Securitization Sukuk and Islamic Capital Markets : Structural Issues in These Formative Years
McMillen, Michael J. T. - 2013
After introducing some fundamental concepts of relevance to Islamic finance, this article describes investment funds used to make investments in the United States, lease (ijara) investment structures used for real estate investments in different jurisdictions (including the early development of...
Persistent link: https://www.econbiz.de/10013080821
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Anatomy of ABS CDO : Why Do ABS CDOs Exist?
Park, Sunyoung - 2013
that there is a large re-securitization rate distinction between AAA- and non AAA-rated tranches. Less than 1% of AAA …
Persistent link: https://www.econbiz.de/10013083730
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Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?
Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …
Persistent link: https://www.econbiz.de/10014362634
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Portfolio sales and signaling
Bougheas, Spiros P.; Worrall, Timothy - 2017
A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...
Persistent link: https://www.econbiz.de/10011610925
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Optimal form of retention for securitized loans under moral hazard
Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13
We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal … and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement … (tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …
Persistent link: https://www.econbiz.de/10011783323
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Incentives and tranche retention in securitisation : a screening model
Fender, Ingo; Mitchell, Janet - 2009
This paper examines the power of different contractual mechanisms to influence an originator's choice of costly effort to screen borrowers when the originator plans to securitise its loans. The analysis focuses on three potential mechanisms: the originator holds a "vertical slice", or share of...
Persistent link: https://www.econbiz.de/10011597154