In recent years the market for asset backed securities (ABS) has shown a rapid growth. In an ABS transaction assets are first pooled and then securities backed by this pool are issued. In many cases, several tranches of securities differing with respect to their priority of payment are designed....

In den vergangenen Jahren verzeichnete der Markt für Asset Backed Securities (ABS) ein rasantes Wachstum. Im Rahmen einer ABS-Transaktion werden Forderungen in einem Pool gebündelt und Wertpapiere emittiert, die mit diesem Forderungspool unterlegt sind. Häufig werden mehrere...

In recent years the market for asset backed securities (ABS) has shown a rapid growth. In an ABS transaction assets are first pooled and then securities backed by this pool are issued. In many cases, several tranches of securities differing with respect to their priority of payment are designed....

This paper develops a model where firms' equilibrium capital structures depend on firms' risk characteristics and investors' aggregate risk appetite. I assume that the law of one price fails because security markets are incomplete and risk-sharing through short-selling or borrowing is limited....

This paper empirically analyzes a particular type of notes observed in securitization transactions: combination notes. Combination notes are formed by combining parts of two or more tranches of securitization transactions, where one part usually consists of a share of the first loss piece. It is...

We study optimal security design when the issuer and market participants agree to disagree about the characteristics of the asset to be securitized. We show that pooling assets can be optimal because it mitigates the effects of disagreement between issuer and investors, whereas tranching a...

Two factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned...

This thesis consists of an introductory chapter and four essays on financial contracting theory.In the first essay, we argue that many adverse selection models of standard one-period loan contracts are not robust to changes in market structure.We argue that debt is not an optimal contract in...