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Collateralized Debt Obligations: Anreizprobleme im Rahmen des Managements von CDOs

Listed author(s):
  • Scholz, Julia
Registered author(s):

    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.

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    Paper provided by University of Munich, Munich School of Management in its series Discussion Papers in Business Administration with number 10999.

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    Date of creation: 22 Sep 2009
    Handle: RePEc:lmu:msmdpa:10999
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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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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.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Andreas A. Jobst, 2002. "Collateralized Loan Obligations (CLOs) – A Primer," Working Paper Series: Finance and Accounting 96, Department of Finance, Goethe University Frankfurt am Main.
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    6. Ingo Fender & John Kiff, 2004. "CDO rating methodology: Some thoughts on model risk and its implications," BIS Working Papers 163, Bank for International Settlements.
    7. Jennifer Carpenter, 1999. "Does Option Compensation Increase Managerial Risk Appetite?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-076, New York University, Leonard N. Stern School of Business-.
    8. Lewellen, Katharina, 2006. "Financing decisions when managers are risk averse," Journal of Financial Economics, Elsevier, vol. 82(3), pages 551-589, December.
    9. DeFusco, Richard A & Johnson, Robert R & Zorn, Thomas S, 1990. " The Effect of Executive Stock Option Plans on Stockholders and Bondholders," Journal of Finance, American Finance Association, vol. 45(2), pages 617-627, June.
    10. Ashcraft, Adam B. & Schuermann, Til, 2008. "Understanding the Securitization of Subprime Mortgage Credit," Foundations and Trends(R) in Finance, now publishers, vol. 2(3), pages 191-309, June.
    11. Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting 187, Department of Finance, Goethe University Frankfurt am Main.
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