Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan … Eigenschaften des CLO-Managers und der Transaktionscharakteristika als mögliche Einflussfaktoren der Rating Performance. Es wird … gezeigt, dass Transaktionen, bei denen dem CLO-Manager eine Incentive Management Fee gewährt wird, mit einer höheren …

of the lowest rated tranche. -- Securitization ; collateralized debt obligations ; asset pool quality ; First Loss …

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on … with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching …

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on …

yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this …

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …

credit risk transfer instrument and to increase performance, while European originators focus on regulatory capital arbitrage … and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed … understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main …

research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …