TY  - UNPD
A1  - Jobst, Andreas A.
T1  - The pricing puzzle : the default term structure of collateralised loan obligations
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,14
N2  - Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with investors acquiring a structured claim on the interest proceeds generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a pricing model that draws on a careful simulation of expected loan loss based on parametric bootstrapping through extreme value theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO transactions exhibits a distinctly different default tolerance compared to the remaining tranches. By solving the puzzling question of properly pricing the risk premium for expected credit loss, we explain the rationale of first loss retention as credit risk cover on the basis of our simulation results for pricing purposes under the impact of asymmetric information. Klassifikation: C15, C22, D82, F34, G13, G18, G20
T3  - CFS working paper series - 2002, 14 
KW  - Loan Securitisation
KW  - Structured Finance
KW  - CLO
KW  - Asset-Backed Security
KW  - Kreditsicherheit
KW  - Kreditsicherung
KW  - Kreditrisiko
KW  - Risikoprämie
KW  - Zinsstruktur
KW  - Zinsstrukturtheorie
KW  - Aktienanalyse
KW  - Aktienbewertung
KW  - Chart-Analyse
KW  - Finanzanalyse
KW  - Fundamentalanalyse
KW  - Technische Aktienanalyse
KW  - Wertpapieranalyse
Y1  - 2002
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4489
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10048
IS  - December 2002
ER  -