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Structured finance instruments represent a form of securitization technology which can be defined by the … securitization, in order to identify the economic forces underlying the creation of SF instruments. A question addressed is under … what circumstances one would expect to observe pooling alone (as with traditional securitization) versus pooling and …
Persistent link: https://www.econbiz.de/10011506593
As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of...
Persistent link: https://www.econbiz.de/10010322285
This paper is a case study that focuses on possible incentive problems in the management of Collateralized Loan Obligations (CLOs). CLOs are the most important type of special purpose vehicles in the leveraged loan market, and their managers appear to have a considerable impact on performance....
Persistent link: https://www.econbiz.de/10011506658
securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit …
Persistent link: https://www.econbiz.de/10010309795
Asset-backed securitisation (ABS) is an asset funding technique that involves the issuance of structured claims on the cash flow performance of a designated pool of underlying receivables. Efficient risk management and asset allocation in this growing segment of fixed income markets requires...
Persistent link: https://www.econbiz.de/10010316228
Persistent link: https://www.econbiz.de/10010316278
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010318769
We examine rating behaviour after the introduction of new regulations regarding Credit Rating Agencies (CRAs) in the European securitisation market. Employing a large sample of 12,469 ABS tranches issued between 1998 and 2018, we examine the information content of yield spreads of ABS at the...
Persistent link: https://www.econbiz.de/10014543657
Persistent link: https://www.econbiz.de/10014566201
The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 - 8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is...
Persistent link: https://www.econbiz.de/10010292259