Overview
- Securitization as an integrative solution
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Keywords
- Asset-backed securities
- Automotive industry
- Captives
- Credit risk management
- Portfolio optimation
- Securitization
About this book
When Alexander Hener started to work on this thesis three years ago, he may not have antic ipated today's relevance of his research. The importance is for example reflected in the first asset-backed securities of underlying German auto finance contracts in November 2004, which has been structured by Volkswagen Financial Services. As result of the True-Sale Initiative fostered by the Kreditanstalt fur Wiederaufbau more such transactions can be expected in the future. In this context Mr. Hener analyzes an intuitive question with relevance not only for German captives: which particular contracts from a pool of finance or lease contracts should be securitized in an ABS transaction? The author first analyzes the reasons why portfolios in particular of automotive captives tend to be inefficiently priced. He sets out in detail different interest groups and potential conflicts in auto finance and lease, and suggests securitization as an integrative sol ution. Taking the issuer's point of view a framework is developed which suggests a decision for each contract as to whether it is to be assigned to an ABS transaction. Among other the framework models regulatory capital arbitrage, return on equity and return on risk-adjusted capital optimization. For such an approach the underlying risks, in particular credit risk, must be modeled. With this purpose in mind the feasibility of various credit risk models in the industry context is extensively examined.
Authors and Affiliations
About the author
Der Verfasser promovierte extern bei Prof. Dr. Johannes Schneider am Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftstheorie, der Katholischen Universität Eichstätt. In dieser Zeit war er als Doktorand am Forschungszentrum von DaimlerChrysler in Ulm tätig.
Bibliographic Information
Book Title: Credit Risk Management in the Automotive Industry
Book Subtitle: Structuring of loan and lease securitizations as integrative solution
Authors: Alexander Hener
Publisher: Deutscher Universitätsverlag Wiesbaden
eBook Packages: Economics and Finance (R0)
Copyright Information: Deutscher Universitäts-Verlag/GWV Fachverlage GmbH, Wiesbaden 2005
Softcover ISBN: 978-3-8244-8287-0Published: 30 March 2005
Edition Number: 1
Number of Pages: XIX, 166
Number of Illustrations: 1 b/w illustrations