Collateralized Debt Obligations: First Loss Piece Retention, Combination Notes, and Tranching (Europäische Hochschulschriften / European University ... Universitaires Européennes, Band 5) - Softcover

Schaber, Albert

 
9783631587959: Collateralized Debt Obligations: First Loss Piece Retention, Combination Notes, and Tranching (Europäische Hochschulschriften / European University ... Universitaires Européennes, Band 5)

Inhaltsangabe

This book offers insights into three different aspects of Collateralized Debt Obligations (CDOs). The first section covers a mechanism that explains the sale of first loss positions to investors. The theoretical model is based on a repeated game and focuses on the role of issuer reputation. The second section empirically analyzes combination notes. These are a particular type of security issued in CDOs, consisting of parts of different tranches of one CDO transaction. The findings show that combination notes are used as an equity transfer vehicle and that their tranching caters to segmented demand. The third section finally analyzes the tranching of CDOs. A transaction cost-based hypothesis of tranching is proposed and verified empirically.

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Über die Autorin bzw. den Autor

The Author: Albert Schaber studied business administration at the Ludwig-Maximilians-University Munich (LMU) with stays abroad at the EMLYON Business School and the University of California at Berkeley. Having completed his studies he joined the Institute of Capital Market Research and Finance at LMU Munich as a research assistant. He currently works as a consultant in the financial services industry.

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