结构金融产品系列讲座(摘登)——意大利租赁资产证券化

意大利租赁资产证券化中的一些法律问题从某种意义上说,对法律框架的分析是任何证券评估的一个重要方面。自ABS被设计用于应对外部冲击及交易诸方破产以来,相关的法律风险的分析和认识一直处于至关重要的地位。下面,我们将分析与意大利租赁资产证券化有关的法律问题,并将参照包括评级机构在内的诸机构已披露的报告进行一系列的分析。     

结构金融产品系列讲座(摘登)——公司证券化评估原理

本文阐述标准普尔对带有混合风险特点的证券化进行评估的基本原理.所谓混合风险即兼有公司风险和与一般的证券化(如信用卡证券化、汽车贷款证券化等)有关风险的双重特点的风险.     

结构金融产品系列讲座(摘登)——意大利租赁资产证券化

中小企业被认为是意大利经济的生力军。90年代末期,随着意大利成为欧洲货币联盟的成员国(第二阶段),其利息率大幅下降从而鼓励公司更多地借贷。在意大利,融资租赁一方面使公司获得了资产,另一方面也免除了租金的税收成本。虽然一些租赁公司是更大金融公司和银行的一部分,但更多的租赁公司是独立的。按照定义,租赁是一项资本需求业务,成本低是其成功的关键因素。《意大利证券法》的颁布和实施是放松对租赁行业低成本融资的控制的关键,它提供了一个合法的框架,在此框架内,租赁公司可低成本地在资本市场上募集资金。在意大利,租赁和证券化齐头并进,租赁资产证券化在意大利ABS市场上占比近20%,且增长势头良好。     

结构金融产品系列讲座(摘登)——欧洲公共部门资产证券化

本文将考察欧洲结构金融市场上发展最快的部门之一:公共部门的资产证券化。我们将探讨自1999年以来该市场的演变过程,其中主要包括公共部门证券化的目标,对于独立发行机构的潜在收益及账户处理方面的持续变化,将为相关的投资者提供关于公共部门证券化的结构、管理和相对收益。     

结构金融产品系列讲座(摘登)--证券化的技巧

证券化一个最广为人知的特点就是从发起人提供的基础资产池中分离出来,对这一特点的种种特征进行强调至关重要。这种分离一旦发生,第三方就要介入,相关的信用活动也由此产生,因此,需要有两种与结构金融和证券化信用产品相平行的信用需要。证券化的信用空间之界定所有固定收入信用产品都可以被置于一个统一的信用系列之中：(A)信用产品完全依赖于各自所在的特定产业和市场环     

结构金融产品系列讲座(摘登)--证券化技巧之三

资产类型与基本证券化结构资产的不同类型决定了市场上可用的不同证券化结构,假如符合某些基本条件, 几乎任何类型的资产都可以被证券化。一般情况下,各式各样的资产都可以分成两类进入证券化债券结构,即循环式和摊还式。     

结构金融产品系列讲座(摘登)--证券化技巧之二

证券化纲要尽管存在法律意义和结构上的差异, 各类证券化交易都具有一些共同的特征、因素和参与者。它们是任何一次证券化交易的构成要件,这些构件至关重要,因为一方面要靠它们来具体实施证券化交易,另一方面,它们也是投资分析的基本内容。资产支持证券和房屋抵押贷款证券化的结构和法律方     

结构金融产品系列讲座(摘登)——整体业务证券化(一)

简而言之,整体业务证券化(WBS)即指将与运营公司的一级担保长期债券及其相关的信用风险重组成投资级和准投资级的债券等不同的部分.债券的偿付来源通常依赖于持续现金流,其中主要是运营公司的诸种业务所产生的未来现金流;如果债务人发生财务困境,则来源于包括房地产和存货等在内的公司资产的清算收益.     

结构金融产品系列讲座(摘登)——整体业务证券化(二)

整体业务证券化的主要金融和经营协议 虽然整体业务证券化(WBS)可以以相对较低的成本,筹集到长期债券.但是为保护票据投资者的权益,围绕提现和业务运营等方面的一些协议的形成过程,法律还是做了明确规定.     

结构金融产品系列讲座(摘登)

第二部分 国际互换与衍生品 协会关于信用事件的界定及演变 信用事件是信用衍生品交易及由信用衍生品衍生的 组合式证券化中的一个极为重要的概念。对其的定义和 解释在国际互换与衍生品协会制定的ISDA总协定中有 清晰说明。最早的界定形成于1999年,此后几经修定和 补充,最新的解释版本是2003年下的定义。以下具体介 绍信用事件的定义的形成及其演进过程。     

结构金融产品系列讲座(摘登)——穆迪对消费者贷款证券化的评估方法

穆迪所评估的消费者贷款包括个人贷款、汽车贷款和信用卡贷款。大多数个人贷款是未担保的、分期偿付的贷款。但用于为汽车购买融资的汽车贷款大多是有担保的。信用卡借款的特点是循环性、浮动利率和可变分期偿付。消费者贷款可能还包括对中小公司的融资租赁。租赁利率既可固定也可浮动,分期偿付模式固定,最后承租人按残值的期权价格买下设备。     

结构金融产品系列讲座(摘登)——汽车和消费者贷款证券化产品类型和基础资产特点

本文旨在考察汽车和消费者融资产品的最普通类型,这些产品提供给消费者而且通常已经包括在ABS中。接着我们探讨汽车和消费者贷款组合的基本特点并探讨分析它们的一般方法。产品类型提供给客户的汽车和消费者的贷款产品已经非常多元化;例如按照分期偿付结构(amortisation prfile),利息计算方法     

The performance of individual investors in structured financial products

This paper is the first to measure individual investors’ realized risk-adjusted performance in structured financial products, which represent one of the key financial innovations in recent times. Based on a large database of trades and portfolio holdings for 10,652 retail investors in discount and bonus certificates and common stocks, we find that (1) investors typically realize negative alphas in structured financial products, even when transaction costs are ignored. (2) Their underperformance increases with product complexity, which results from the higher implicit price premiums charged by the issuing banks for the more complex products and from the investors’ poor selection of products that have complex payoff specifications. (3) Investors also make poor choices when selecting the underlying assets for their structured product investments. This is merely a reflection of the poor stock selection abilities which also leads to a significant underperformance for their equity portfolios. (4) Certificate and stock investors are prone to the disposition effect. Overall, these findings suggest that retail investors may require some form of protection to avoid incurring these losses.     

Retail banking and behavioral financial engineering: The case of structured products

We apply cumulative prospect theory and hedonic framing to evaluate discount reverse convertibles (DRCs) and reverse convertible bonds (RCBs) as important examples of structured products from a boundedly rational investor’s point of view. While common expected utility theory would also conclude that DRCs and RCBs are of interest to investors with moderate return expectations and underestimated stock return volatility, that theory would overestimate the market success of DRCs and underestimate that of RCBs in comparison to a situation with bounded rationality. Hedonic framing and relatively low subjectively felt competence levels of investors are decisive for the demand for RCBs.     

Co-monotonicity of optimal investments and the design of structured financial products

We prove that, under very weak conditions, optimal financial products on complete markets are co-monotone with the reversed state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g., expected utility theory or prospect theory. The proof is based on a result from transport theory. We apply the general result to specific situations, in particular the case of a market described by the Capital Asset Pricing Model or the Black–Scholes model, where we derive a generalization of the two-fund-separation theorem and give an extension to APT factor models and structured products with several underlyings. We use our results to derive a new approach to optimization in wealth management, based on a direct optimization of the return distribution of the portfolio. In particular, we show that optimal products can (essentially) be written as monotonic functions of the market return. We provide existence and nonexistence results for optimal products in this framework. Finally we apply our results to the study of bonus certificates, show that they are not optimal, and construct a cheaper product yielding the same return distribution.     

结构性产品在国际金融衍生品市场上的发展及其启示

结构性产品市场是国际金融衍生品市场的重要组成部分,在欧洲、亚洲都有非常大的市场规模和繁多的产品种类。结构性产品增加了资本市场的完备性、深化了市场的风险配置功能,并对基础市场产生重要影响。我国的结构性产品首先以外币结构性存款的形式出现,并得到快速发展。借鉴国际经验,应在鼓励结构性产品发展的同时,关注监管、会计制度等方面的问题,加速金融衍生品交易所市场的发展,促进场内、场外市场的良性互动。     

Pricing structured products with economic covariates

We introduce a top-down no-arbitrage model for pricing structured products. Losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on financial institutions’ risk exposure and systemic risk. We estimate the model using CDO data and find that spreads decrease with higher interest rates and increase with volatility and leverage. Volatility is the primary determinant of variation in tranche spreads. Leverage and interest rates are more closely associated with rare credit events. Model-implied risk premiums and the probabilities of tranche losses increase substantially during the financial crisis.     

Diversification with options and structured products

Review of Derivatives Research - Different from diversification of stocks, there are two strategies to diversify portfolios consisting of options: one is to combine options on single underlying...     

Design and marketing of financial products

Marketing costs are introduced into the security design environmentoutlined in Allen and Gale (1988). It is shown that splittingthe firm's cash flow between products enhances their investorappeal and reduces marketing costs. We also explain how theextremal product design in Allen and Gale is thereby avoidedand how in simple cases, debt, equity, or warrants can be optimal.Furthermore, we illustrate in general terms how the optimalsolution employs portfolios of option-type products, and wegive an example of two optimal products that share profits inseven of eight states.