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dc.contributor.authorFranke, Günteren
dc.contributor.authorHerrmann, Markusen
dc.contributor.authorWeber, Thomasen
dc.date.accessioned2009-09-16-
dc.date.accessioned2010-05-14T12:00:47Z-
dc.date.available2010-05-14T12:00:47Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:bsz:352-opus-116638en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x07/10en
dc.subject.jelG10en
dc.subject.jelG21en
dc.subject.jelG24en
dc.subject.ddc330en
dc.subject.keywordSecuritizationen
dc.subject.keywordcollateralized debt obligationsen
dc.subject.keywordasset pool qualityen
dc.subject.keywordFirst Loss Positionen
dc.subject.keywordsynthetic transactionsen
dc.subject.keywordtranchingen
dc.titleInformation asymmetries and securitization design-
dc.type|aWorking Paperen
dc.identifier.ppn60893142Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0710-

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