An analytical approach for systematic risk sensitivity of structured finance products

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Arndt Claußen
  • Martin Schmelzle
  • Daniel Rösch

Organisationseinheiten

Externe Organisationen

  • Universität Regensburg
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Details

Titel in ÜbersetzungEin analytischer Ansatz für die systematische Risikosensitivität von strukturierten Finanzprodukten
OriginalspracheEnglisch
Seiten (von - bis)1 - 37
Seitenumfang17
FachzeitschriftReview of Derivatives Research
Jahrgang2013
Ausgabenummer17
PublikationsstatusVeröffentlicht - 26 Apr. 2013

Abstract

The global financial crisis has shown that many financial institutions dealing with credit derivatives were exposed to severe unexpected losses. This indicates that systematic influences are decisively underestimated particularly with regard to structured products like securitized tranches of collateralized debt obligations. Our analytical study addresses these systematic effects: We provide a simple model which allows a closed-form comparison of both bonds and tranches with respect to their systematic risk. We demonstrate that the exposure to systematic risk of tranches may be many times higher than the exposure of bonds, even if both products share the same rating grade, e.g., an ‘AAA’ rating, measured by either default probability or expected loss. Particularly in economic downturns, default rates of tranches may be multiples of those of bonds. Our results help understand high default rates of tranches during the financial crisis and show that classical ratings are insufficient metrics for measuring risks of structured products.

Schlagwörter

    Theorie, Derivat

ASJC Scopus Sachgebiete

Zitieren

An analytical approach for systematic risk sensitivity of structured finance products. / Claußen, Arndt; Schmelzle, Martin; Rösch, Daniel.
in: Review of Derivatives Research, Jahrgang 2013, Nr. 17, 26.04.2013, S. 1 - 37.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Claußen A, Schmelzle M, Rösch D. An analytical approach for systematic risk sensitivity of structured finance products. Review of Derivatives Research. 2013 Apr 26;2013(17):1 - 37. doi: 10.1007/s11147-013-9089-1
Claußen, Arndt ; Schmelzle, Martin ; Rösch, Daniel. / An analytical approach for systematic risk sensitivity of structured finance products. in: Review of Derivatives Research. 2013 ; Jahrgang 2013, Nr. 17. S. 1 - 37.
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