Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/301031 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
ECONtribute Discussion Paper No. 325
Verlag: 
University of Bonn and University of Cologne, Reinhard Selten Institute (RSI), Bonn and Cologne
Zusammenfassung: 
We use the tools of mechanism design, combined with the theory of risk measures, to analyze how a cash constrained owner of an asset with known stochastic returns raises capital from a population of investors that differ in their risk aversion and budget constraints. The issuer partitions the asset's cash flow into several asset-backed securities, one for each type of investor. The optimal partition conforms to the commonly observed practice of tranching into senior debt, junior debt and equity. Tranching endogenously arises due to the differences in risk appetites among agents, and in the budget constraints they face.
Schlagwörter: 
Security Design
Risk Aversion
Tranching
Pooling
JEL: 
D82
G00
Dokumentart: 
Working Paper

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