Combination notes: market segmentation and equity transfer
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jeffery D. Amato & Eli M Remolona, 2005. "The pricing of unexpected credit losses," BIS Working Papers 190, Bank for International Settlements.
- Boot, Arnoud W A & Thakor, Anjan V, 1993.
"Security Design,"
Journal of Finance, American Finance Association, vol. 48(4), pages 1349-1378, September.
- Arnoud W A Boot & Anjan V Thakor, 1992. "Security Design," CEPR Financial Markets Paper 0020, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
- Maciej Firla-Cuchra & Tim Jenkinson, 2005.
"Why are Securitization Issues Tranched?,"
OFRC Working Papers Series
2005fe04, Oxford Financial Research Centre.
- Maciej Firla-CuchraTim Jenkinson, 2005. "Why Are Securitization Issues Tranched?," Economics Series Working Papers 2005-FE-04, University of Oxford, Department of Economics.
- Gary B. Gorton & Nicholas S. Souleles, 2007.
"Special Purpose Vehicles and Securitization,"
NBER Chapters, in: The Risks of Financial Institutions, pages 549-597,
National Bureau of Economic Research, Inc.
- Gary Gorton & Nicholas Souleles, 2005. "Special Purpose Vehicles and Securitization," NBER Working Papers 11190, National Bureau of Economic Research, Inc.
- Gary Gorton & Nicholas S. Souleles, 2005. "Special purpose vehicles and securitization," Working Papers 05-21, Federal Reserve Bank of Philadelphia.
- Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics.
- Peter M. DeMarzo, 2005. "The Pooling and Tranching of Securities: A Model of Informed Intermediation," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 1-35.
- John Y. Campbell & Glen B. Taksler, 2003.
"Equity Volatility and Corporate Bond Yields,"
Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
- John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," NBER Working Papers 8961, National Bureau of Economic Research, Inc.
- John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research.
- Campbell, John & Taksler, Glen, 2003. "Equity Volatility and Corporate Bond Yields," Scholarly Articles 3153307, Harvard University Department of Economics.
- Boudoukh, Jacob, et al, 1997. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 405-446.
- Franke, Günter & Herrmann, Markus & Weber, Thomas, 2007. "Information asymmetries and securitization design," CoFE Discussion Papers 07/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
- Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
- Joost Driessen, 2005. "Is Default Event Risk Priced in Corporate Bonds?," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 165-195.
- Gorton, Gary B. & Pennacchi, George G., 1995.
"Banks and loan sales Marketing nonmarketable assets,"
Journal of Monetary Economics, Elsevier, vol. 35(3), pages 389-411, June.
- Gary Gorton & George Pennacchi, 1990. "Banks and Loan Sales: Marketing Non-Marketable Assets," NBER Working Papers 3551, National Bureau of Economic Research, Inc.
- Papke, Leslie E & Wooldridge, Jeffrey M, 1996.
"Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-632, Nov.-Dec..
- Leslie E. Papke & Jeffrey M. Wooldridge, 1993. "Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates," NBER Technical Working Papers 0147, National Bureau of Economic Research, Inc.
- Riddiough, Timothy J., 1997. "Optimal Design and Governance of Asset-Backed Securities," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 121-152, April.
- Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
- Pierre Collin-Dufresn & Robert S. Goldstein & J. Spencer Martin, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
- Solomon Y. Deku & Alper Kara & Nodirbek Karimov, 2021. "Do investors value frequent issuers in securitization?," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1247-1282, November.
- Miguel Á. Peña-Cerezo & Arturo Rodríguez-Castellanos & Francisco J. Ibáñez-Hernández, 2019. "Multi-tranche securitisation structures: more than just a zero-sum game?," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 167-189, January.
- Abdul Halim, Zairihan & How, Janice & Verhoeven, Peter & Hassan, M. Kabir, 2020. "Asymmetric information and securitization design in Islamic capital markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
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.- Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration 4151, University of Munich, Munich School of Management.
- Marques, Manuel O. & Pinto, João M., 2020.
"A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance,"
Journal of Corporate Finance, Elsevier, vol. 62(C).
- João Pinto & Manuel Marques & William Megginson, 2013. "A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
- Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
- João Pinto & Mário Coutinho dos Santos, 2014. "Corporate Financing Choices after the 2007-2008 Financial Crisis," Working Papers de Economia (Economics Working Papers) 03, Católica Porto Business School, Universidade Católica Portuguesa.
- Abdul Halim, Zairihan & How, Janice & Verhoeven, Peter & Hassan, M. Kabir, 2020. "Asymmetric information and securitization design in Islamic capital markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
- Miguel Á. Peña-Cerezo & Arturo Rodríguez-Castellanos & Francisco J. Ibáñez-Hernández, 2019. "Multi-tranche securitisation structures: more than just a zero-sum game?," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 167-189, January.
- Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management.
- Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics.
- Franke, Günter & Herrmann, Markus & Weber, Thomas, 2007. "Information asymmetries and securitization design," CoFE Discussion Papers 07/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics.
- Günter Franke & Thomas Weber, 2007. "Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?," Schmalenbach Journal of Business Research, Springer, vol. 59(57), pages 95-123, January.
- Gemmill, Gordon & Keswani, Aneel, 2011. "Downside risk and the size of credit spreads," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2021-2036, August.
- Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
- Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
- Hänsel, Dennis N. & Bannier, Christina E., 2008. "Determinants of European banks' engagement in loan securitization," Discussion Paper Series 2: Banking and Financial Studies 2008,10, Deutsche Bundesbank.
- Gunter Franke & Jan Pieter Krahnen, 2007.
"Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations,"
NBER Chapters, in: The Risks of Financial Institutions, pages 603-631,
National Bureau of Economic Research, Inc.
- Franke, Günter & Krahnen, Jan Pieter, 2005. "Default risk sharing between banks and markets: The contribution of collateralized debt obligations," CoFE Discussion Papers 05/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc.
- Franke, Günter & Krahnen, Jan Pieter, 2005. "Default risk sharing between banks and markets: The contribution of collateralized debt obligations," CFS Working Paper Series 2005/06, Center for Financial Studies (CFS).
- Vink, Dennis, 2007. "ABS, MBS and CDO compared: an empirical analysis," MPRA Paper 10381, University Library of Munich, Germany, revised 09 Sep 2008.
- Broer, Tobias, 2018. "Securitization bubbles: Structured finance with disagreement about default risk," Journal of Financial Economics, Elsevier, vol. 127(3), pages 505-518.
- Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014.
"Credit spread changes within switching regimes,"
Journal of Banking & Finance, Elsevier, vol. 49(C), pages 41-55.
- Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE.
- Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2010. "Credit spread changes within switching regimes," Working Papers 09-1, HEC Montreal, Canada Research Chair in Risk Management.
More about this item
Keywords
combination note; first loss piece; securitization; collateralized debt obligation; security design;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Statistics
Access and download statisticsCorrections
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:lmu:msmdpa:7956. 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: Mareike Seifried (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.