Hener | Credit Risk Management in the Automotive Industry | Buch | sack.de

Hener Credit Risk Management in the Automotive Industry



Structuring of loan and lease securitizations as integrative solution

Softcover Nachdruck of the original 1. Auflage 2005, 166 Seiten, Kartoniert, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 251 g
ISBN: 978-3-8244-8287-0
Verlag: Deutscher Universitätsverlag


Hener Credit Risk Management in the Automotive Industry

Focusing on captive finance units in the automotive industry Alexander Hener analyzes which particular contracts from a pool of finance or lease contracts should be securitized in an asset-backed securities (ABS) transaction. He shows which interest groups and potential conflicts may cause portfolios to be inefficiently priced, and suggests securitization as an integrative solution.

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Research


Autoren/Hrsg.


Weitere Infos & Material


1 Introduction.- 2 The Automotive Industry.- 2.1 Relevance of the Industry and of the Captive Financial Companies.- 2.2 Risk Management in Industry and Commerce.- 2.2.1 Risks and Risk Management in Banking.- 2.2.2 Risks in Industry and Commerce.- 2.2.3 Risk Management in Industry and Commerce.- 2.2.4 Risks and Risk Management in the Automotive Industry.- 2.3 Stakeholders in the Automotive Industry.- 2.3.1 Classical Stakeholders and Captive Finance Companies.- 2.3.2 The Regulator as Additional Stakeholder.- 2.3.3 Conflict of Interest.- 2.4 Summary.- 3 Credit Risk Models.- 3.1 Model Requirements in the Automotive Industry.- 3.1.1 Types of Products in Car Financing and Leasing.- 3.1.2 Credit Portfolios in the Automotive Industry.- 3.1.3 Data Availability, Empirical and Modeling Requirements.- 3.2 Elements of Credit Risk Modeling.- 3.2.1 Conceptional Issues.- 3.2.2 Parameter Specification.- 3.2.3 Backtesting and Alternatives for Validation.- 3.2.4 Implications for the Automotive Industry.- 3.3 Model Selection.- 3.3.1 Short History of Credit Risk Models.- 3.3.2 Classification of Credit Risk Models.- 3.3.3 Comparability and Mixtures of Models.- 3.3.4 Applicability of Model Types to Auto Portfolios.- 3.3.5 Implementations of CR+.- 4 CreditRisk+ and the Regulatory Model.- 4.1 The Original CreditRisk+ Model.- 4.1.1 Introduction and Survey.- 4.1.2 Data Requirements.- 4.2 Framework of CreditRisk+.- 4.2.1 Probability Generating Functions.- 4.2.2 Assumption I: Default independence conditional on individual default rates.- 4.2.3 Assumption II: Approximation of probability generating function.- 4.2.4 Assumption III: Functional form of the individual default rates.- 4.2.5 Idiosyncratic Sectors.- 4.2.6 Assumption IV: Independent gamma distributions of sector default rates.- 4.2.7 Assumption V: Rounding and standardizing of exposures.- 4.2.8 Computation of the Unconditional Loss Distribution.- 4.2.9 Implied Dependency Structure.- 4.2.10 Discussion.- 4.3 Extensions of CreditRisk+.- 4.3.1 Incorporation of Rating Migrations.- 4.3.2 Default and Loss Correlations.- 4.4 Implementation of CreditRisk+.- 4.4.1 Determination of Loss Distribution.- 4.4.2 Further Issues.- 4.5 The Regulatory Model.- 5 Credit Risk Management.- 5.1 Risk Measures and Contributions.- 5.1.1 Portfolio Risk Measures.- 5.1.2 Examples for Portfolio Risk Measures.- 5.1.3 Risk Contributions.- 5.2 Portfolio Risk Measures and Contributions in CreditRisk+.- 5.2.1 Portfolio Risk Measures.- 5.2.2 Risk Contributions.- 6 A Model for Securitization.- 6.1 Capital and the Management of Financial Institutions.- 6.1.1 Capital.- 6.1.2 Views on Capital at Financial Institutions.- 6.2 Securitization.- 6.2.1 Introduction.- 6.2.2 Proceedings, Classifications, and Structures of Securitization.- 6.2.3 Motivation for Securitizations.- 6.2.4 Excursion: Moody’s Approach to Asset-backed Securities.- 6.3 Securitization in the Automotive Industry.- 6.3.1 Issuer’s View.- 6.3.2 Investors’s View.- 6.3.3 Securitization Example: DC Auto Trust 2002-C.- 6.3.4 Employment of Credit Derivatives.- 6.4 A Model for the Securitization of Car Financing Contracts.- 6.4.1 General Setting.- 6.4.2 Short Survey of Objectives.- 6.4.3 Objective 1: Minimizing Regulatory Capital.- 6.4.4 Objective 2: Regulatory Capital Arbitrage.- 6.4.5 Objective 3: Optimization of RoE and RoRaC.- 6.4.6 Alternative Problem Formulations.- 6.4.7 Extensions of the Model.- 6.5 Regulatory Framework.- 6.5.1 Alignment of the Model in the Regulatory Framework.- 6.5.2 Inputs for the Calculation of Regulatory Capital for Securitized Loans.- 6.5.3 The Supervisory Formula Approach SFA.- 7 Empirical Analysis.- 7.1 Implementation.- 7.1.1 Model Choice, Parameterization and Implementation.- 7.1.2 Implementation of Framework and Problems.- 7.1.3 Simulation of Loss Distribution.- 7.2 Data Information and Manipulations.- 7.2.1 Loss Rate Information.- 7.2.2 Default Rate Information.- 7.2.3 Borrower Information.- 7.3 Results.- 7.3.1 Loss Distribution and Risk Contributions.- 7.3.2 Optimization Results.- 7.4 Conclusion.- 8 Summary and Topics for Future Research.- Appendix: Explicit Calculations for the CR+ Model.- Appendix: Abbreviations.- Appendix: Variables.


Hener, Alexander
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.


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