Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/36645 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorKrahnen, Jan Pieteren
dc.contributor.authorWilde, Christianen
dc.date.accessioned2008-11-31-
dc.date.accessioned2010-07-15T12:57:26Z-
dc.date.available2010-07-15T12:57:26Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/36645-
dc.description.abstractModern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different tranches of a CDO transaction when the underlying asset returns are driven by a common macro factor and an idiosyncratic component. Junior and senior tranches are found to be nearly orthogonal, motivating a search for the where about of systematic risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in contrast to a widely-held claim, we show that (extreme) tail risk in standard CDO transactions is held by all tranches. While junior tranches take on all types of systematic risk, senior tranches take on almost no non-tail risk. This is in stark contrast to an untranched bond portfolio of the same rating quality, which on average suffers substantial losses for all realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets.en
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x187en
dc.subject.jelG21en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordcredit risken
dc.subject.keywordrisk transferen
dc.subject.keywordsystematic risken
dc.subject.stwKreditsicherungen
dc.subject.stwSecuritizationen
dc.subject.stwRisikoen
dc.subject.stwAllokationen
dc.subject.stwBankrisikoen
dc.subject.stwSchocken
dc.subject.stwKreditmarkten
dc.subject.stwTheorieen
dc.titleRisk transfer with CDOs-
dc.typeWorking Paperen
dc.identifier.ppn584110030en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
204.33 kB





Publikationen in EconStor sind urheberrechtlich geschützt.