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http://hdl.handle.net/10419/32191
  

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dc.contributor.authorFranke, Günteren_US
dc.contributor.authorHerrmann, Markusen_US
dc.contributor.authorWeber, Thomasen_US
dc.date.accessioned2009-09-16en_US
dc.date.accessioned2010-05-14T12:00:47Z-
dc.date.available2010-05-14T12:00:47Z-
dc.date.issued2007en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-116638-
dc.identifier.urihttp://hdl.handle.net/10419/32191-
dc.description.abstractThe 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 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.en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,10de
dc.subject.jelG10en_US
dc.subject.jelG21en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.subject.keywordSecuritizationen_US
dc.subject.keywordcollateralized debt obligationsen_US
dc.subject.keywordasset pool qualityen_US
dc.subject.keywordFirst Loss Positionen_US
dc.subject.keywordsynthetic transactionsen_US
dc.subject.keywordtranchingen_US
dc.titleInformation asymmetries and securitization designen_US
dc.typeWorking Paperen_US
dc.identifier.ppn60893142Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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