Credit Risk Management in the Automotive Industry
Structuring of loan and lease securitizations as integrative solution
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Beschreibung
One of the reasons for the expected increase in the number and volume of German asset-backed securities (ABS) transactions is the True-Sale Initiative fostered by the Kreditanstalt für Wiederaufbau. The question is, which particular contracts from a pool of finance or lease contracts should be securitized in an ABS transaction.
Focusing on captive finance units in the automotive industry the author analyzes this question. He shows which interest groups and potential conflicts may cause portfolios to be inefficiently priced, and suggests securitization as an integrative solution. Taking the issuer's point of view he develops a quantitative framework for the structuring of ABS transactions. In order to determine the risk contributions of individual contracts in the portfolio, the author examines the feasibility of various credit risk models. The securitization framework and the credit risk model are implemented and parameterized.
One of the reasons for the expected increase in the number and volume of German asset-backed securities (ABS) transactions is the True-Sale Initiative fostered by the Kreditanstalt für Wiederaufbau. The question is, which particular contracts from a pool of finance or lease contracts should be securitized in an ABS transaction.
Focusing on captive finance units in the automotive industry the author analyzes this question. He shows which interest groups and potential conflicts may cause portfolios to be inefficiently priced, and suggests securitization as an integrative solution. Taking the issuer's point of view he develops a quantitative framework for the structuring of ABS transactions. In order to determine the risk contributions of individual contracts in the portfolio, the author examines the feasibility of various credit risk models. The securitization framework and the credit risk model are implemented and parameterized.
Securitization as an integrative solution
Autor*in
Alexander Hener
Themen in »Credit Risk Management in the Automotive Industry«
Asset-backed securities Automotive industry Captives Credit risk management Portfolio optimation Securitization