Credit Risk Management in the Automotive Industry: Structuring of loan and lease securitizations as integrative solution - Softcover

Hener, Alexander

Softcover

ISBN 10: 3824482878 ISBN 13: 9783824482870

Publisher: Deutscher Universitätsverlag, 2005

Synopsis

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.

About this title

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.

From the Back Cover

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.

Edition details

• Publisher: Deutscher Universitätsverlag
• Publication date: 2005
• Language: English
• ISBN 10: 3824482878
• ISBN 13: 9783824482870
• Binding: Paperback
• Number of pages: 185