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Pooling und Tranching im Rahmen von ABS-Transaktionen

Author

Listed:
  • Rudolph, Bernd
  • Scholz, Julia

Abstract

In recent years the market for asset backed securities (ABS) has shown a rapid growth. In an ABS transaction assets are first pooled and then securities backed by this pool are issued. In many cases, several tranches of securities differing with respect to their priority of payment are designed. The rapid development of the ABS market cannot be explained under the assumption of a perfect capital market since in such case the structuring of cash flows cannot lead to any value creation. Several explanatory approaches based on the different market imperfections have since been developed. Discussing current available literature the following article presents the sophisticated approach of DeMarzo (2005). The author shows, under the assumption of an asymmetric information distribution between the market participants, that in such case bundling of assets and structuring of tranches with different priorities of payment could be value-creating.

Suggested Citation

  • Rudolph, Bernd & Scholz, Julia, 2007. "Pooling und Tranching im Rahmen von ABS-Transaktionen," Discussion Papers in Business Administration 1884, University of Munich, Munich School of Management.
  • Handle: RePEc:lmu:msmdpa:1884
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    File URL: https://epub.ub.uni-muenchen.de/1884/1/Pooling_und_Tranching_im_Rahmen_von_ABS-Transaktionen.pdf
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    More about this item

    Keywords

    asset backed securities; collateralized debt obligation; security design; pooling; tranching; asymmetric information; adverse selection; lemons problem;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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