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Known Unknowns in Verbriefungen

Author

Listed:
  • Günter Franke

    (Universität Konstanz)

Abstract

Zusammenfassung Dieser Beitrag skizziert die Entwicklung des Marktes für Verbriefungstransaktionen und fragt, weshalb dieser Markt so stark eingebrochen ist und sich bislang nur wenig erholt hat Zu den vermutlichen Gründen zählen drei schwer abschätzbare Risikofaktoren. (1) Die langen Wertschöpfungsketten im Verbriefungsgeschäft mit uS-Hypothe- karkrediten haben zu kaum kontrollierbaren Agency-Problemen geführt. Daher sollten die Wertschöpfungsketten deutlich verkürzt werden.? Die Wahrscheinlichkeitsverteilungen der Ausfallraten von Verbriefungsportfolios reagieren sehr empfindlich auf die Modellparameter. Daher sollten die rating-Agenturen die von ihnen verwendeten Parameter kommunizieren. (3) Noch schwieriger sind die stochastischen Diskontfaktoren abzuschätzen, die bei der ermittlung marktgerechter Credit Spreads von Verbrie- fungstranchen anzusetzen sind. Hier bedarf es weiterer forschung.

Suggested Citation

  • Günter Franke, 2013. "Known Unknowns in Verbriefungen," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 1-34, January.
    • Handle: RePEc:spr:sjobre:v:65:y:2013:i:67:d:10.1007_bf03373020
    DOI: 10.1007/BF03373020
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    More about this item

    Keywords

    Agency Problems; Default Correlations; Securitization Transactions; Stochastic Discount factors;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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