IDEAS home Printed from https://ideas.repec.org/a/scn/financ/y2014i3p127-138.html
   My bibliography  Save this article

Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга // A Securitized Pool Of Operating Lease Assets And Its Residual Value Risk Evaluation

Author

Listed:
  • E. Petrova A.

    (NRU «Higher school of economics»)

  • Е. Петрова А.

    (НИУ «Высшая школа экономики»)

Abstract

Leasing has proved itself as a powerful and effective area for the investment development of individual enterprises and industries. The competition in the market of lease services encourages leasing companies to expand the lease product range and seek alternative sources of financing lease transactions, of which securitization may become a promising tool. After the transition of the Russian banking system to international standards of capital calculation in the framework of Basel II and Basel III agreements, operations of lease assets securitization will have to meet the capital reservation requirements. Accordingly, the introduction of new standards makes it necessary to analyze their possible impact on the securitization attractiveness to the lessors. By an example of the default data of the securitized Volkswagen pool of operating lease assets the current research proves that the Basel committee’s methodology for the capital requirements definition is excessively conservative in respect of the residual value risk. Current foreign investigations into the subject also consistently express the viewpoint that the leasing industry is characterized by rather high recovery rates. This article proposes a new author’s approach to the residual value risk evaluation modifying the Basel methodology in respect of forming capital requirements upon lease assets securitization. The author’s model has been tested on a Volkswagen securitization transaction. The considered approach is based on the Gumbel copula model. Лизинг зарекомендовал себя как весомое и эффективное направление инвестиционного развития отдельных предприятий и отраслей экономики. Конкуренция на рынке лизинговых услуг побуждает компании расширять линейку лизинговых продуктов и искать альтернативные источники финансирования сделок, одним из которых может выступить секьюритизация. После перехода российской банковской системы на международные стандарты расчета капитала в рамках соглашений Базель II и Базель III в отношении операций по секьюритизации лизинговых активов появятся требования к резервированию капитала. В этой связи при введении новых норм важно проанализировать, каким образом они отразятся на привлекательности секьюритизации для лизингодателей. Настоящее исследование на примере данных о дефолтах секьюритизированного пула активов оперативного лизинга volkswagen доказывает, что методика Базельского комитета по определению требований к капиталу является излишне консервативной в отношении риска остаточной стоимости. Существующие зарубежные исследования на эту тему также последовательно высказывают точку зрения о том, что для лизинговой индустрии характерны достаточно высокие ставки возврата при дефолтах. В статье предложен новый авторский подход к оценке риска остаточной стоимости, модифицирующий методику Базельского соглашения в отношении формирования требований к капиталу при секьюритизации лизинговых активов. Авторская модель протестирована на примере сделки секьюритизации volkswagen . Предложенный подход основан на использовании модели «копула» Гумбеля.

Suggested Citation

  • E. Petrova A. & Е. Петрова А., 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга // A Securitized Pool Of Operating Lease Assets And Its Residual Value Risk Evaluation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, issue 3, pages 127-138.
  • Handle: RePEc:scn:financ:y:2014:i:3:p:127-138
    as

    Download full text from publisher

    File URL: https://financetp.fa.ru/jour/article/viewFile/61/103.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Davide Meneguzzo & Walter Vecchiato, 2004. "Copula sensitivity in collateralized debt obligations and basket default swaps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(1), pages 37-70, January.
    2. Rösch, Daniel & Scheule, Harald, 2012. "Capital incentives and adequacy for securitizations," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 733-748.
    3. Marie-Paule Laurent & S. Van Belle & Mathias Schmit, 2009. "An empirical approach to residual value risk estimation in automotive leases," ULB Institutional Repository 2013/14277, ULB -- Universite Libre de Bruxelles.
    4. Hugues Pirotte & Celine Vaessen, 2008. "Residual value risk in the leasing industry: A European case," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 157-177.
    5. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    6. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
    7. Cécile Kharoubi & Thierry Ané, 2003. "Dependance Structure and Risk Measure," Post-Print halshs-00165144, HAL.
    8. Penikas, Henry, 2010. "Copula-Models in Foreign Exchange Risk-Management of a Bank," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 62-87.
    9. Marie-Paule Laurent & Mathias Schmit, 2005. "Estimating distressed LGD on defaulted exposures: a portfolio model applied to leasing contracts," ULB Institutional Repository 2013/14421, ULB -- Universite Libre de Bruxelles.
    10. repec:dau:papers:123456789/2332 is not listed on IDEAS
    11. Thierry Ane & Cecile Kharoubi, 2003. "Dependence Structure and Risk Measure," The Journal of Business, University of Chicago Press, vol. 76(3), pages 411-438, July.
    12. Газман Виктор Давидович, 2010. "Секьюритизация Лизинговых Активов," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 14(3), pages 349-378.
    13. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Петрова Екатерина Александровна, 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 127-138.
    2. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    3. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.
    4. Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.
    5. Berger, Theo, 2016. "On the isolated impact of copulas on risk measurement: Asimulation study," Economic Modelling, Elsevier, vol. 58(C), pages 475-481.
    6. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    7. Eling, Martin, 2012. "Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 239-248.
    8. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Copulas and related properties," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 109-121.
    9. Nguyen, Tristan & Molinari, Robert Danilo, 2009. "Quantifizierung von Abhängigkeitsstrukturen zwischen Risiken in Versicherungsunternehmen," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 5(2), pages 28-52.
    10. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
    11. Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
    12. MICHIELS, Frederik & DE SCHEPPER, Ann, 2007. "A copula test space model: How to avoid the wrong copula choice," Working Papers 2007027, University of Antwerp, Faculty of Business and Economics.
    13. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    14. Liu, Xiang-dong & Pan, Fei & Cai, Wen-li & Peng, Rui, 2020. "Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach," Reliability Engineering and System Safety, Elsevier, vol. 197(C).
    15. Gregor Weiß, 2011. "Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study," Computational Statistics, Springer, vol. 26(1), pages 31-54, March.
    16. Florian Kaposty & Philipp Klein & Matthias Löderbusch & Andreas Pfingsten, 2022. "Loss given default in SME leasing," Review of Managerial Science, Springer, vol. 16(5), pages 1561-1597, July.
    17. Desislava Chetalova & Marcel Wollschlager & Rudi Schafer, 2015. "Dependence structure of market states," Papers 1503.09004, arXiv.org, revised Jul 2015.
    18. Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
    19. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
    20. Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:financ:y:2014:i:3:p:127-138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Алексей Скалабан (email available below). General contact details of provider: http://financetp.fa.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.