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Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse

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  • Gann, Philipp
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    Abstract

    Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich durch das makroökonomische Umfeld determiniert werden. Die explizite Konjunktur- sowie Assetkorrelationserwartung des Kapitalmarktes beeinflusst zum einen die Emissionserlöse aus einer Verbriefung und damit die Anreize der Originatoren zur Verbriefung ihrer ausfallrisikobehafteten Assets, zum anderen die tranchenspezifischen Marktwerte bereits emittierter CDOs in Abhängigkeit der Subordination. Den größten Teil des Risikos makroökonomischer Veränderungen trägt das Equity Piece sowie die stärker subordinierten Tranchen. Eine Veränderung der Assetkorrelationen beeinflusst die Marktwerte der einzelnen Tranchen ebenfalls in stark unterschiedlicher Weise. Die Analyseergebnisse indizieren, dass bereits geringfügige Veränderungen der Konjunkturerwartung sowie der Assetkorrelationen hohe Ratingänderungen der Investment Grade-Tranchen implizieren und die tranchenspezifische Volatilität der Ratingeinschätzung der Agentur Moody’s grundsätzlich von der der Agenturen Standard & Poor’s sowie Fitch abweichen kann. Ferner wird in vorliegender Arbeit der Einfluss der Risikoaversion des Kapitalmarktes auf die Marktwerte von CDOs verschiedener Seniorität analysiert. Die Höhe der Risikoaversion beeinflusst den Wert der einzelnen Tranchen dabei umso stärker, je größer deren Subordination ausfällt. Es wird gezeigt, dass dem aktuellen Marktumfeld eine entscheidende Bedeutung für die relative Vorteilhaftigkeit der Veräußerung einzelner Tranchen zukommt und die Höhe der Risikoaversion des Kapitalmarktes die Kreditvergabestandards der Institute zu beeinflussen vermag. Weiterhin wird der marktphasenabhängige Einfluss des Liquiditätsrisikos auf die Marktwerte von CDOs modelliert. Dabei wird auf Grundlage empirischer Erkenntnisse die Abhängigkeit des Liquiditätsrisikos von dem aktuellen Marktumfeld abgebildet, um auf dieser Basis die durch dynamische Veränderungen des Liquiditätsrisikos bedingten Spread- und Marktwertveränderungen von CDO-Tranchen unterschiedlicher Seniorität quantitativ erfassen zu können. Durch die Quantifizierung des liquiditätsrisikoinduzierten Einflusses einer Veränderung des Marktumfelds auf die Marktwerte von CDOs kann der empirisch belegte hohe Einfluss des Liquiditätsrisikos zu Krisenzeiten gerade für die unter dem Gesichtspunkt des Kreditrisikos als verhältnismäßig risikoarm eingeschätzten höherrangigen CDO-Tranchen simulationsgestützt aufgezeigt werden.

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    Bibliographic Info

    Paper provided by University of Munich, Munich School of Management in its series Discussion Papers in Business Administration with number 10582.

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    Date of creation: Apr 2009
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    Handle: RePEc:lmu:msmdpa:10582

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    Keywords: Collateralized Debt Obligations; CDO; ABS; Tranchierung; Ausfallratenverteilung; Ein-Faktor-Modell; Credit Spread; Launch Spread; Asset Value; Firmenwertsensitivität; Assetkorrelation; Risikoaversion; Liquidität; Konjunkturerwartung; Risikonutzenfunktion; Subprimekrise; Liquiditätsrisiko; Rating; Kreditvergabestandards;

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