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Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs

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  • Scholz, Julia

Abstract

Die Arbeit untersucht die Anreize von CDO-Managern hinsichtlich der Auswahl der einem Pool zugrunde liegenden Forderungen und identifiziert Anreizkonflikte zwischen diesen und den Investoren der unterschiedlich subordinierten Tranchen. Es wird aufgezeigt, dass CDO-Manager unabhängig von ihrer Risikoeinstellung einen Anreiz zur Maximierung der Konzentration des zu verwaltenden Referenzportfolios besitzen. Bezüglich der Ausfallwahrscheinlichkeit und der Recovery Rate der Assets besteht für Manager dagegen nur dann ein Anreiz zur Maximierung des Portfoliorisikos, wenn der Anteil der Incentive Fee an der Gesamtvergütung vergleichsweise hoch ist oder eine gewisse Managementbeteiligung an der Equity Tranche vorliegt. Hierbei sind die Risikoanreize umso schwächer, je stärker die Risikoaversion eines Managers ausgeprägt ist. Neben der Gestaltung der Vergütung und der Eigenkapitalbeteiligung wird das Risikoverhalten von CDO-Managern durch die Transaktionsstruktur beeinflusst. In diesem Zusammenhang wird festgestellt, dass durch die Gestaltung von Overcollateralization Tests Risk Shifting-Anreize von Asset Managern abgeschwächt bzw. verhindert werden können. Hinsichtlich der Präferenzen der Investoren zeigt sich eine Interessensdivergenz zwischen den Investoren der vorrangigen Tranchen und denen der Equity Tranche. Die Investoren der Senior und Mezzanine Tranchen präferieren einen Forderungspool mit einem möglichst geringen Risiko, die der Equity Tranche einen Pool mit einem möglichst hohen Risiko. Es ergibt sich somit ein Risikoanreizproblem zwischen dem Asset Manager und den Debt Investoren einer CDO-Transaktion, wenn für den Manager ein Anreiz zur Maximierung des Portfoliorisikos besteht. Demgegenüber liegt ein Interessenkonflikt zwischen dem Manager und den Equity Investoren vor, wenn der Manager keinen Risk-Shifting Anreiz besitzt. Hierbei sind die für die Investoren aus einem bestehenden Anreizkonflikt resultierenden Wertverluste umso größer, je geringer die Seniorität der von ihnen gehaltenen Tranche ist.

Suggested Citation

  • Scholz, Julia, 2009. "Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs," Discussion Papers in Business Administration 10999, University of Munich, Munich School of Management.
  • Handle: RePEc:lmu:msmdpa:10999
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    References listed on IDEAS

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    1. Jennifer N. Carpenter, 2000. "Does Option Compensation Increase Managerial Risk Appetite?," Journal of Finance, American Finance Association, vol. 55(5), pages 2311-2331, October.
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    Cited by:

    1. Scholz, Julia, 2011. "Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs," Discussion Papers in Business Administration 12144, University of Munich, Munich School of Management.

    More about this item

    Keywords

    Verbriefung; Collateralized Debt Obligations; Asset Manager; CDO-Management; Risk-Shifting;

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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