Collateralized Debt Obligations : First Loss Piece Retention, Combination Notes, and Tranching
New
Book Details
Format
Paperback / Softback
Book Series
Europaeische Hochschulschriften / European University Studies / Publications Universitaires Europeennes
ISBN-10
3631587953
ISBN-13
9783631587959
Edition
New
Publisher
Peter Lang AG
Imprint
Peter Lang AG
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Sep 29th, 2009
Print length
180 Pages
Weight
246 grams
Dimensions
15.10 x 21.00 x 1.30 cms
Product Classification:
Economic theory & philosophyMonetary economicsBankingBudgeting & financial management
Ksh 9,250.00
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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.
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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