Market pricing of credit-linked notes: the case of retail structured products in Germany

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2011-12-01 DOI:10.21314/JCR.2011.149

A. Rathgeber, Yun Wang

引用次数: 5

Abstract

The volume of the primary market of certificates for retail investors has increased enormously in the past ten years, and German banks have recently started issuing credit-linked notes (CLNs). As with other types of certificates, the question can be raised as to whether coupon payments for these instruments are fair and adequate compared with the related risk and, if not, what the reasons for this mispricing are. In this paper we analyze the pricing of 136 outstanding CLNs and discover that CLNs are generally greatly overpriced in the primary market. Furthermore, we find strong evidence for an essential hypothesis that is still debated in the literature: the more complex the product and the less transparent the market, the more overpricing there tends to be.

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信贷联系票据的市场定价:以德国零售结构性产品为例

在过去的十年里，面向散户投资者的债券初级市场的交易量大幅增长，德国银行最近也开始发行信用关联票据(cln)。与其他类型的凭证一样，可以提出的问题是，与相关风险相比，这些工具的息票支付是否公平和充分，如果不是，这种错误定价的原因是什么。本文对136家上市公司的定价进行了分析，发现一级市场上上市公司的定价普遍过高。此外，我们发现了一个在文献中仍有争议的基本假设的有力证据:产品越复杂，市场越不透明，就越容易出现定价过高的情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.