Information asymmetries and securitization design

The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these transactions is the information asymmetry between the originator and the investors. First Loss Positions are the most important instrument to mitigate conflicts due to information asymmetry. We analyse the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt obligation transactions. We find that the asset pool quality, measured by the weighted average default probability and the diversity score of the pool, plays a predominant role for the transaction design. Characteristics of the originator play a small role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses, independent of the asset pool quality. This loss share and the asset pool quality strongly affect the rating and the credit spread of the lowest rated tranche.Securitization, collateralized debt obligations, asset pool quality, First Loss Position, synthetic transactions, tranching

Minimum Race-Time Planning-Strategy for an Autonomous Electric Racecar

Increasing attention to autonomous passenger vehicles has also attracted interest in an autonomous racing series. Because of this, platforms such as Roborace and the Indy Autonomous Challenge are currently evolving. Electric racecars face the challenge of a limited amount of stored energy within their batteries. Furthermore, the thermodynamical influence of an all-electric powertrain on the race performance is crucial. Severe damage can occur to the powertrain components when thermally overstressed. In this work we present a race-time minimal control strategy deduced from an Optimal Control Problem (OCP) that is transcribed into a Nonlinear Problem (NLP). Its optimization variables stem from the driving dynamics as well as from a thermodynamical description of the electric powertrain. We deduce the necessary first-order Ordinary Differential Equations (ODE)s and form simplified loss models for the implementation within the numerical optimization. The significant influence of the powertrain behavior on the race strategy is shown.Comment: Accepted at The 23rd IEEE International Conference on Intelligent Transportation Systems, September 20 - 23, 202

Präsentation von Prozeßmodellen

Geschäftsprozeßmodelle müssen für alle Beteiligte nachvollziehbar sein, insbesondere für diejenigen, die die Aufgaben im Rahmen dieser Prozesse bearbeiten. Deshalb sollten man sich Diagramme, die Geschäftsprozesse darstellen, mit Hilfe software-basierter Präsentationswerkzeuge ansehen können, die verschiedene Ebenen von Details präsentieren können. Es wird erklärt, wie man Mechanismen des Ein- und Ausblendens verwenden kann, wie man Gruppierung von Elementen, Kontextualisierung oder die Nachvollziehbarkeit für Laien unterstützt und wie sich Visualisierungselemente einsetzen lassen