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Market share and risk taking : The role of asset managers in the collapse of the arbitrage CDO market

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Mählmann, Thomas:
Market share and risk taking : The role of asset managers in the collapse of the arbitrage CDO market.
In: Review of quantitative finance and accounting. 47 (2016). - S. 273-303.
ISSN 1573-7179

Volltext

Kurzfassung/Abstract

Asset pricing theory predicts that if credit ratings do not reflect all relevant aspects of a CDO debt tranche’s risk profile (i.e., its total and systematic risk), then ratings-based tranche pricing by some naïve investors creates incentives for CDO arrangers to take excessive non-priced risk. CDO managers’ desire for repeat issuance makes them part of this risk taking strategy to exploit naïve investors. The implication is that the credit quality of CDOs run by large market share managers has a higher tendency to deteriorate in bad times. This paper finds empirical evidence for large market share manager’s conflicts of interest.

Weitere Angaben

Publikationsform:Artikel
Schlagwörter:Conflict of interest, Credit rating, Collateralized debt obligation, Systematic risk
Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Banken
Peer-Review-Journal:Ja
Titel an der KU entstanden:Ja
KU.edoc-ID:19868
Eingestellt am: 17. Jun 2021 15:58
Letzte Änderung: 17. Jun 2021 15:58
URL zu dieser Anzeige: https://edoc.ku.de/id/eprint/19868/
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