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Kreditverbriefungen und die Subprime-Krise: Der Zusammenbruch des Marktes für ABS-CDOs = Securitizations and the subprime crisis: The collapse of the market for ABS-CDOs

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Mählmann, Thomas:
Kreditverbriefungen und die Subprime-Krise: Der Zusammenbruch des Marktes für ABS-CDOs = Securitizations and the subprime crisis: The collapse of the market for ABS-CDOs.
In: Die Betriebswirtschaft. 70 (2010) 5. - S. 405-423.
ISSN 0342-7064

Kurzfassung/Abstract

At the start of the subprime crisis 2007, highly rated structured finance products started to appear much riskier than traditional investments carrying similar ratings. Subsequently, investors lost confidence in the ratings and the novel products themselves, leading markets for the products to seize up and thus to severe adverse consequences for the global financial system. This paper examines and compares the risk properties of one-layer (i.e., ABS) and two-layer (i.e., ABS-CDO) securitizations within a simulation analysis that generates asset values by a model with both macro-economic and idiosyncratic risk. The setup also allows for correlated default rates between different ABS asset pools. The results show that the process of (re-)securitization 1) substitutes diversifiable idiosyncratic risks by non-diversifiable systematic risk, and 2) magnifies the impact of errors/changes in estimates of the underlying collateral pool assets’ risk characteristics, making second-generation securitization tranches much more sensitive to stress scenarios.

Weitere Angaben

Publikationsform:Artikel
Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Banken
Peer-Review-Journal:Ja
Titel an der KU entstanden:Nein
Eingestellt am:28. Aug 2012 16:49
Letzte Änderung:04. Sep 2012 19:20
URL zu dieser Anzeige:http://edoc.ku-eichstaett.de/11832/