Collateralized Debt Obligations: First Loss Piece Retention, Combination Notes, and Tranching (Europaeische Hochschulschriften / European University Studies / Publications Universitaires Europeennes, #3351)

by Albert Schaber

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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.
  • ISBN13 9783631587959
  • Publish Date 29 September 2009
  • Publish Status Active
  • Publish Country CH
  • Imprint Peter Lang AG