No economic catastrophe bonds
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Autor:innen
Autor:in (Körperschaft)
Publikationsdatum
2018
Typ der Arbeit
Studiengang
Sammlung
Typ
01A - Beitrag in wissenschaftlicher Zeitschrift
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
Journal of Derivatives
Themenheft
DOI der Originalpublikation
Link
Reihe / Serie
Reihennummer
Jahrgang / Band
26
Ausgabe / Nummer
1
Seiten / Dauer
97-108
Patentnummer
Verlag / Herausgebende Institution
Portfolio Management Research
Verlagsort / Veranstaltungsort
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
The Financial Crisis of 2008 did much to discredit the idea of securitization. A recent argument has arisen concerning the idea that a senior tranche of a CDO should be treated as a security whose only risk exposure is to a true economic catastrophe, since anything less would be absorbed by the lower seniority tranches. This means that loss given default would be very large and also very systematic, so the highest rated tranches should be priced to pay larger risk premia than comparably rated single name bonds. Blöchlinger argues that this line of reasoning is wrong in theory, and empirically, observed yield spreads in the market do not support it either. Not only do the AAA tranches default only under the same extreme conditions as government bonds do, but they also benefit from the diversification within the CDO pool. The article demonstrates that this should make the most senior CDO tranches safer than (less diversified) single name bonds of the same rating. A key point in the proof is to recognize that, within the most senior tranche, the effect of diversification in the CDO pool is different for the average dollar of principal value than for the marginal dollar in that tranche (i.e., at the attachment point). Diversification in the pool increases the average value of the senior-most tranche, even though it lowers the value of the marginal dollar.
Schlagwörter
Fachgebiet (DDC)
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
ISSN
1074-1240
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Nein
Zukunftsfelder FHNW
Publikationsstatus
Veröffentlicht
Begutachtung
Peer-Review der ganzen Publikation
Open Access-Status
Closed
Lizenz
Zitation
Blöchlinger, A. (2018). No economic catastrophe bonds. Journal of Derivatives, 26(1), 97–108. https://doi.org/10.3905/jod.2018.26.1.097