Tesis: "Asset-Backed Security"

1

Bertl, Andreas. "Verbriefung von Forderungen : Entstehungsgeschichte und heutige Struktur von Asset Backed Securities /". Wiesbaden : Dt. Univ.-Verl, 2004. http://www.gbv.de/dms/zbw/460044419.pdf.

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2

Lindtner, Armin. "Asset backed securities : ein Cash-flow-Modell /". Sternenfels : Verl. Wiss. und Praxis, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010673704&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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3

Lindtner, Armin. "Asset backed securities ein Cash-flow-Modell". Sternenfels Verl. Wiss. und Praxis, 2001. http://deposit.ddb.de/cgi-bin/dokserv?id=2654981&prov=M&dok_var=1&dok_ext=htm.

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4

Laporte, Claude. "La titrisation d'actifs en Suisse : asset-backed securitisation /". Zurich : Schulthess [u.a.], 2005. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=013188163&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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5

Pichler, Marc. "Asset backed securities - ein innovatives Finanzierungsinstrument am Kapitalmarkt /". [Hamburg] : Igel-Verl, 2009. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=017556645&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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6

Riegler, Volkmar. "Asset Backed Securities : Instrument zur Kreditrisikosteuerung in österreichischen Regionalbanken? /". Wien [u.a.] : Springer, 2004. http://www.gbv.de/dms/zbw/390675792.pdf.

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7

Struffert, Ralf. "Asset Backed Securities-Transaktionen und Kreditderivate nach IFRS und HGB /". Wiesbaden : Dt. Univ.-Verl, 2006. http://swbplus.bsz-bw.de/bsz259072036inh.pdf.

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8

Fleiner, Suzanne. "Asset-backed securitization : analysis of the special purpose entity structure under the legal systems of Switzerland and of the United States of America /". Zürich : Schulthess Jur. Medien, 2007. http://aleph.unisg.ch/hsgscan/hm00190515.pdf.

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9

Linkert, Florian. "Insolvenzrechtliche Risiken bei Asset Backed Securities : ausgewählte Probleme der Insolvenz des Orginators im deutschen und U.S.-amerikanischen Recht unter besonderer Berücksichtigung des Refinanzierungsregisters ($$ 22a ff. KWG) /". Berlin : VDP, 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=017059756&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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10

Marx, Marco. "Asset-Backed-Securities aus Bankensicht : die Auswirkungen der True-Sale-Initiative auf den deutschen Verbriefungsmarkt /". Saarbrücken : VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2867071&prov=M&dok_var=1&dok_ext=htm.

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11

Althaus, Thomas. "Der Einsatz von Kreditderivaten in der Schweiz Gegenwärtige Situation und mögliche Entwicklungen aus der Sicht der national tätigen Bankengruppen /". St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03605359001/$FILE/03605359001.pdf.

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12

Feld, Klaus-Peter. "Bilanzierung von ABS-Transaktionen im IFRS-Abschluss : Anwendung von IAS 39 und SIC-12, konzeptionelle Probleme und Folgen für die Abschlussprüfung /". Düsseldorf : IDW-Verl, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=015520157&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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13

Sidki, Marcus. "Risikoteilung zwischen Banken und Kapitalmarkt". [S.l. : s.n.], 2006. http://nbn-resolving.de/urn:nbn:de:bsz:16-opus-72578.

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14

Kern, Christoph. "Die Sicherheit gedeckter Wertpapiere /". Tübingen : Mohr-Siebeck, 2004. http://www.gbv.de/dms/ilmenau/toc/396041892.PDF.

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15

Winkler, Simon. "Supply Chain Finance Der Asset-Based-Financing-Ansatz in Unternehmensnetzwerken /". St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00642892002/$FILE/00642892002.pdf.

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16

Schmidt-Modrow, Martina. "Gesetzliche Verbriefungsmodelle in Frankreich". Baden-Baden Nomos, 2009. http://d-nb.info/1000248410/04.

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17

Breidenbach, Marc. "Real estate securitisation : asset backed security financing for the property industry ; an International comparison applied to the case of Germany /". Köln : Müller, 2005. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=013217492&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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18

Franke, Ulrich. "Asset securitization im Gesundheitswesen Erfahrungen in den USA und anderen Ländern als Basis einer Abwägung von Einsatzmöglichkeiten in Deutschland". Wiesbaden Gabler, 2007. http://d-nb.info/986944319/04.

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19

Emse, Cordula. "Verbriefungstransaktionen deutscher Kreditinstitute : eine Analyse alternativer Strukturvarianten und deren regulatorischer Erfassung nach Grundsatz I und Basel II /". Wiesbaden : Gabler, 2005. http://www.gbv.de/du/services/toc/bs/479459401.

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20

Franke, Ulrich. "Asset Securitization im Gesundheitswesen : Erfahrungen in den USA und anderen Ländern als Basis einer Abwägung von Einsatzmöglichkeiten in Deutschland /". Wiesbaden : Dt. Univ.-Verl, 2008. http://d-nb.info/986944319/04.

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21

Lussi, Simon. "Analyse der Entwicklung eines marktbasierten Geschäftsmodells der Finanzintermediation im KMU-Bereich anhand der Analyse von innovativen Finanzinstrumenten für den Mittelstand". St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04604153001/$FILE/04604153001.pdf.

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22

Meyer, Stephanie-Laurence. "Die Verbriefung von KMU-Kreditrisiken Status Quo und Entwicklungstendenzen /". St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01652536001/$FILE/01652536001.pdf.

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23

Brakensiek, Sonja. "Bilanzneutrale Finanzierungsinstrumente in der internationalen und nationalen Rechnungslegung : die Abbildung von Leasing, Asset-Backet-Securities-Transaktionen und Special Purpose Entities im Konzernabschluss /". Herne [u.a.] : Verl. Neue Wirtschafts-Briefe, 2001. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009538508&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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24

Käufer, Anke. "Übertragung finanzieller Vermögenswerte nach HGB und IAS 39 : Factoring, Pensionsgeschäfte und Wertpapierleihen im Vergleich /". Berlin : Erich Schmidt, 2009. http://d-nb.info/994856210/04.

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25

Feld, Klaus-Peter. "Abbildung konventioneller Asset Backed Securities-Transaktionen im IFRS-Abschluss - Anwendung und kritische Würdigung des Abgangs- und Abbildungskonzepts von IAS 39 und SIC-12 unter Berücksichtigung von Fortentwicklungsmöglichkeiten und Aspekten der Abschlussprüfung". [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-58186.

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26

Hurni, Konrad Stocker Patricio A. "Diversifikation von Industrieportefeuilles unter Liquiditätsaspekten /". Bern [u.a.] : Haupt, 1996. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=007393842&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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27

Mulaudzi, Mmboniseni Phanuel. "The subprime mortgage crisis : asset securitization and interbank lending / M.P. Mulaudzi". Thesis, North-West University, 2009. http://hdl.handle.net/10394/5097.

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Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-, continuous-and discontinuous-time and their connections with the SMC. In this regard, the main issues to be addressed are discussed in Chapters 2, 3 and 4. In Chapter 2, we investigate the risk allocation choices of an investing bank (IB) that has to decide between risky securitized subprime RMLs and riskless Treasuries. This issue is discussed in a discrete-time framework with IB being considered to be regret- and risk-averse before and during the SMC, respectively. We conclude that if IB takes regret into account it will be exposed to higher risk when the difference between the expected returns on securitized subprime RMLs and Treasuries is small. However, there is low risk exposure when this difference is high. Furthermore, we assess how regret can influence IB's view - as a swap protection buyer - of the rate of return on credit default swaps (CDSs), as measured by the premium based on default swap spreads. We find that before the SMC, regret increases IB's willingness to pay lower premiums for CDSs when its securitized RML portfolio is considered to be safe. On the other hand, both risk- and regret-averse IBs pay the same CDS premium when their securitized RML portfolio is considered to be risky. Chapter 3 solves a stochastic optimal credit default insurance problem in continuous-time that has the cash outflow rate for satisfying depositor obligations, the investment in securitized loans and credit default insurance as controls. As far as the latter is concerned, we compute the credit default swap premium and accrued premium by considering the credit rating of the securitized mortgage loans. In Chapter 4, we consider a problem of IB investment in subprime residential mortgage-backed securities (RMBSs) and Treasuries in discontinuous-time. In order to accomplish this, we develop a Levy process-based model of jump diffusion-type for IB's investment in subprime RMBSs and Treasuries. This model incorporates subprime RMBS losses which can be associated with credit risk. Furthermore, we use variance to measure such risk, and assume that the risk is bounded by a certain constraint. We are now able to set-up a mean-variance optimization problem for IB's investment which determines the optimal proportion of funds that needs to be invested in subprime RMBSs and Treasuries subject to credit risk measured by the variance of IE's investment. In the sequel, we also consider a mean swaps-at-risk (SaR) optimization problem for IB's investment which determines the optimal portfolio which consists of subprime RMBSs and Treasuries subject to the protection by CDSs required against the possible losses. In this regard, we define SaR as indicative to IB on how much protection from swap protection seller it must have in order to cover the losses that might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an analysis of discrete-, continuous- and discontinuous-time models for subprime RML securitization discussed in the aforementioned chapters and their connections with the SMC. The work presented in this thesis is based on 7 peer-reviewed international journal articles (see [25], [44], [45], [46], [47], [48] and [55]), 4 peer-reviewed chapters in books (see [42], [50j, [51J and [52]) and 2 peer-reviewed conference proceedings papers (see [11] and [12]). Moreover, the article [49] is currently being prepared for submission to an lSI accredited journal.
Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.

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28

Chen, Wan-Yu y 陳琬愉. "Underpricing Default Risk-Evidence from Mortgage Asset Backed Security Tranches". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/30879582683378650478.

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碩士
國立清華大學
計量財務金融學系
97
Pricing financial derivates is viewed as one of the problems causing the subprime storm. With the domino effect, the fallout from the subprime mortgage crisis has been spreading across the globe rapidly. It might be likely that the panic results from being misestimated the level of unexpected loss. In order to calibrate the level of such risk, this research simulates the house price and also the short rates. Furthermore, the next step is to estimate quarterly conditional probabilities of default and prepayment with the multinomial logit models introduced by Calhoun and Deng (2002). More importantly, the survival model is utilized to gen-erate the distribution of cumulated default rate to ensure the thickness of each tranche within the ABS. Based upon the estimated the distribution of the thickness for the ABS tranche, this study redirects the cash flow generating by the FRM to investigate the extent to which the degree of the burden risk with corresponding rate of return. Adopting the Sharpe measure to standardize between the internal rate of return and exploring risk. Eventually, the result of Sharpe measure of each tranche does not appear horizon con-dition. As soon as the thickness of each tranche is decided, the shape of Sharpe meas-ure of each tranche is certain. We observe an abnormal condition between return and risk of ABS.

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29

CHEN, CHUNG-YU y 陳重宇. "Credit Tranche Analysis of Asset-Backed Security with Diversification Benefit". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/99375731218942249391.

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碩士
國立清華大學
計量財務金融學系
99
This paper extends the framework of tranche size in fixed rate mortgage and the corresponding risk. We examine whether the tranche size changes with different underlying mortgages by adding the adjustable rate mortgage. With the method of analyzing the mortgage portfolio risk elaborated by Yang et al. (2009), we form an equal-weighted portfolio with two mortgage-backed securities and observe whether the diversification benefit caused by different correlations between the two house price appreciations shows on the tranche size. Based on the empirical findings, Senior tranche size of adjustable rate mortgage is thinner and the supporting level is thicker because of high default risk. With the internal rate of return, we demonstrate the rule of “high risk, high return; low risk, low return” by NR tranche size with the highest return and Senior tranche size with the lowest return among all tranche sizes. Diversification benefit caused by different correlations shows on Senior tranche size and its’ supporting level. We demonstrate the rule of “adding two assets which are not perfect positive correlated would lower the risk” by the increase of Senior tranche size and the decrease of its’ supporting level with the correlation declines.

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30

Lu, Zheng. "Feasibility Assessment Framework for Financing Public-Private Partnership Infrastructure Projects through Asset-Backed Security". Thesis, 2018. https://doi.org/10.7916/D8M34C5Z.

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In modern days, along with restricted traditional funding sources and massive demand of infrastructure investment comes a significant gap of funding. Institutional investors are considered reliable sources of financing for infrastructure due to the long-term investment horizon and asset/liability management (ALM) requirement. Hence, institutional investors start to embrace infrastructure as an attractive asset class because infrastructure assets are able to generate long-term, stable, and predictable cash flows and diversify investors’ portfolios. As a result, financial innovations to encourage institutional investment have become an important issue. Asset-backed securitization (ABS) of Public-Private Partnership (PPP) infrastructure project’s receivables has been promoted in China since Dec. 2016 as an alternative financing instrument to encourage institutional investment to finance infrastructure projects. Traditional approaches of project financing are considered less attractive vis-à-vis the innovative PPPABS financing method, regarding liquidity, steady operational asset, risk sharing, bankruptcy remoteness, long maturity, and standardization. Despite these advantages, lack of knowledge and experience is still preventing project participants from seeking finance opportunities with PPPABS. In order to provide a guideline for practitioners to understand this innovative financing method, this thesis proposes a feasibility assessment framework for financing PPP infrastructure projects through ABS. Firstly, a list of 25 critical success factors (CSFs) of PPPABS is identified through a literature analysis, case studies, and expert interviews. Then a questionnaire survey is designed to collect opinions on these 25 critical factors from not only PPP stakeholders but also capital markets. Preliminary analysis is performed then to have a basic understanding of the data, including descriptive analysis, agreement analysis, and analysis of variance (ANOVA). Furthermore, after applying factor analysis to reduce the dimensions of the model, 5 principal components are derived, including “Effective ABS issuance and lifetime management”, “Clear regulatory guidance”, “Robust PPP and concessional arrangements”, “Supportive capital market conditions”, and “Reliable underlying asset quality”. Based on this finding, an assessment framework and index are proposed for PPPABS financing. Afterward, a case study of the pilot batch of PPPABS in China is presented as validation of the framework. By investigating the causal relationships among the critical factors of successful PPPABS financing, an advanced model is constructed to assist the project participants to quantify the feasibility. A focus group is conducted to collect rating data from experienced experts who have participated infrastructure ABS issuance and management intensively. Structural equation modeling (SEM) method is used to analyze the rating data of PPPABS products on the market. Hypothetical models are then examined, and the best-fit model for illustration is verified and proposed. Causal relationships in this model are investigated and proved to be significant. The result indicates that “Capital market conditions”, “Underlying asset quality”, and “Regulatory guidance” are exogenous variables and affect the overall feasibility of PPPABS indirectly. Furthermore, both “ABS issuance and lifetime management” and “PPP and concessional arrangements” are endogenous variables, affecting the overall feasibility directly. The path coefficients are employed to calculate the weights allocated to each principal factor and to create the feasibility assessment index. In the end, the pilot batch of PPPABS launched in China is used again to illustrate the application in practice and validation of the advanced assessment model. As an in-depth work to understand critical pricing determinants of PPPABS, a regression analysis is performed to build a financing cost estimation model for practitioners. This work can serve as a fundamental guideline in this particular research area of ABS financing for infrastructure projects. And the proposed framework shall support the decision-making process for not only the project managers who consider financing through ABS, but also the institutional investors who consider investment opportunities in PPPABS products.

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31

Markert, Viola. "Commodities as assets and consumption goods : implications for the valuation of commodity futures /". 2006. http://www.gbv.de/dms/zbw/511183658.pdf.

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32

Locke, Natania. "Aspects of traditional securitisation in South African law". Thesis, 2008. http://hdl.handle.net/10500/2676.

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This thesis considers the typical structure and requirements of a traditional securitisation scheme in South Africa. The models used in other jurisdictions cannot be applied unchanged in South Africa. South African securitisation structures make use of a security special purpose vehicle (SPV), because of uncertainties about the provisions of the Companies Act 61 of 1973 relating to the trustee for debenture-holders. An evaluation of the functioning of a security SPV leads to the conclusion that a trustee for debenture-holders should still be appointed within the security SPV structure to represent the interests of the investors. The trust for debenture-holders can be a true trust. The use of general notarial bonds over claims, pledges of claims and fiduciary security cession is examined to determine the effectiveness of each one during securitisation. Aspects of several Acts, Notices and other regulatory measures are considered where they are relevant to securitisation. Of specific importance is the Exemption Notice Relating to Securitisation Schemes, 2008. The Notice requires that both rights and obligations of the originator must be transferred to the SPV. The requirement that the obligations of the originator must be transferred leads to the conclusion that the Notice requires a transfer of claims by means of cession and a transfer of duties by means of delegation. For several reasons, delegation is not a suitable method of transfer during securitisation. Foremost among these reasons is that delegation is a form of novation, which means that the claims cease to exist and are replaced with new claims between the debtors and the SPV. Security rights that were accessory to these claims will then also cease to exist. The amendment to the Notice is recommended so that transfer of claims by means of cession will suffice for compliance with the Notice. The South African courts‘ approach to simulated transactions is evaluated to determine the possibility that the sale of the assets to the SPV may be viewed as a simulated transaction. This thesis evaluates the provisions in insolvency law that could be raised to impeach the sale of the assets in the event of the originator‘s insolvency. The risk of avoidance of the transaction on either ground is small.
Mercentile Law
L.L.D. (Mercentile Law)

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33

Wu, Tsai Yu y 吳彩鈺. "A Study On Asset-Backed Securitie--Manily Foucus On Investors Protection". Thesis, 2003. http://ndltd.ncl.edu.tw/handle/29973400376867800291.

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