Information Asymmetries and Securitization Design
Information Asymmetries and Securitization Design
复制标题
信息不对称与证券化设计
DOI：
10.2139/ssrn.1107877
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Thomas Weber
中科院分区：
文献类型：
--
作者：
Guenter Franke;Markus Herrmann;Thomas Weber
债务抵押债券交易的强劲增长提出了如何设计这些交易的问题。发起人设计交易是为了使自己的利益最大化，但要符合投资者和评级机构的要求。这些交易中的一个重要问题是发起人和投资者之间的信息不对称。第一损失头寸是缓解信息不对称造成的冲突的最重要工具。我们分析了一个模型中第一损失头寸的最优规模和一组欧洲债务抵押债券交易的实际规模。我们发现，资产池的质量，衡量加权平均违约概率和多样性得分的池，起着主导作用的交易设计。发起人的特征起着很小的作用。较低的资产池质量会导致发起机构持有较高的第一损失头寸，而在合成交易中，则会持有较小的第三损失头寸。第一损失头寸平均承担86%的预期违约损失，与资产池质量无关。这一损失份额和资产池质量强烈影响最低评级份额的评级和信用利差。
The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these transactions is the information asymmetry between the originator and the investors. First Loss Positions are the most important instrument to mitigate conflicts due to information asymmetry. We analyse the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt obligation transactions. We find that the asset pool quality, measured by the weighted average default probability and the diversity score of the pool, plays a predominant role for the transaction design. Characteristics of the originator play a small role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses, independent of the asset pool quality. This loss share and the asset pool quality strongly affect the rating and the credit spread of the lowest rated tranche.