Fulltext

Loss Allocation in Securitization Transactions

Franke, Günter ; Herrmann, Markus ; Weber, Thomas

In: Journal of Financial and Quantitative Analysis, 2012, vol. 47, no. 5, p. 1125-1153

Aggiungi alla tua lista
    Titre
    • Loss Allocation in Securitization Transactions
    Auteur
    • Franke, Günter. guenter.franke@uni-konstanz.de, University of Konstanz, Department of Economics, POB 147, D-78457 Konstanz, Germany
    • Herrmann, Markus. markus.herrmann@lbbw.de, Landesbank Baden-Württemberg, Am Hauptbahnhof 2, D-70173 Stuttgart, Germany
    • Weber, Thomas. thomas.weber@axpo.ch, Axpo Holding AG, Parkstrasse 23, 5401 Baden, Switzerland
    Type de document
    • Postprint
    Langue
    • Inglese
    Publié dans
    • Journal of Financial and Quantitative Analysis, 2012, vol. 47, no. 5, p. 1125-1153. Cambridge University Press
    Autre version électronique
    Classification
    • Economie
    Identifiant OAI-PMH
    • oai:doc.rero.ch:296249
    Summary
    This paper analyzes the loss allocation to first, second, and third loss positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher first loss position, but, in a synthetic transaction, a smaller third loss position. The share of expected default losses, borne by the first loss position, is largely independent of asset pool quality but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin's Q prefer synthetic transactions