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

Loss Allocation in Securitization Transactions

This paper analyzes the loss allocation to first, second, and third loss positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher first loss position, but, in a synthetic transaction, a smaller third loss position. The share of expected default losses, borne by the first loss position, is largely independent of asset pool quality but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin's Q prefer synthetic transaction

Modellierung, Konzeption und Realisierung eines CSTA - Treibers

Das Computer Supported Telecommunication Application (CSTA) Protokoll , gehört zur Computer Supported Integration (CTI), und verbindet das Telekommunikationsnetzes mit dem Computernetzwerk. Diese Diplomarbeit befasst sich mit der Umsetzung eines CSTA Treibers. Mit dem Ziel diesen in das vorhandene Zeiterfassungssystem der Hochschule Mittweida zu integrieren. Zum Realisieren und Testen stand eine Siemens HiPath4000 zur Verfügung

An Update Algorithm for Restricted Random Walk Clusters

This book presents the dynamic extension of the Restricted Random Walk Cluster Algorithm by Schöll and Schöll-Paschinger. The dynamic variant allows to quickly integrate changes in the underlying object set or the similarity matrix into the clusters; the results are indistinguishable from the renewed execution of the original algorithm on the updated data set

Quantum criticality on a compressible lattice

The stability of a quantum critical point in the $O(N)$ universality class with respect to an elastic coupling, that preserves $O(N)$ symmetry, is investigated for isotropic elasticity in the framework of the renormalization group (RG) close to the upper critical dimension $d=3-\epsilon$. If the elastic coupling is relevant in the RG sense, we find that the crystal becomes microscopically unstable, i.e., a sound velocity vanishes, at a finite value of the correlation length $\xi$. If the elastic coupling is irrelevant, an additional fixed point emerges that is located at a finite value of the dimensionless elastic coupling. This fixed point is repulsive and separates the flow to weak and strong elastic coupling. As the fixed point is approached the sound velocity is found to vanish only asymptotically as $\xi \to \infty$ such that the crystal remains microscopically stable for any finite value of $\xi$. The fixed point structure we find for the quantum problem is distinct from the classical counterpart in $d=4-\epsilon$, where the crystal remains always microscopically stable for finite $\xi$.Comment: 12 pages, 11 figure

Quantum criticality on a compressible lattice

The stability of a quantum critical point in the $O(N)$ universality class with respect to an elastic coupling, that preserves $O(N)$ symmetry, is investigated for isotropic elasticity in the framework of the renormalization group (RG) close to the upper critical dimension $d=3−ϵ$. With respect to the Wilson-Fisher fixed point, we find that the elastic coupling is relevant in the RG sense for $1≤N≤4$, and the crystal becomes microscopically unstable, i.e., a sound velocity vanishes at a finite value of the correlation length $ξ$. For $N>4$, an additional fixed point emerges that is located at a finite value of the dimensionless elastic coupling. This fixed point is repulsive and separates the flow to weak and strong elastic coupling. As the fixed point is approached the sound velocity is found to vanish only asymptotically as $ξ→∞$ such that the crystal remains microscopically stable for any finite value of $ξ$. The fixed point structure we find for the quantum problem is distinct from the classical counterpart in $d=4−ϵ$, where the crystal always remains microscopically stable for finite $ξ$

The Cityscapes Dataset for Semantic Urban Scene Understanding

Visual understanding of complex urban street scenes is an enabling factor for a wide range of applications. Object detection has benefited enormously from large-scale datasets, especially in the context of deep learning. For semantic urban scene understanding, however, no current dataset adequately captures the complexity of real-world urban scenes. To address this, we introduce Cityscapes, a benchmark suite and large-scale dataset to train and test approaches for pixel-level and instance-level semantic labeling. Cityscapes is comprised of a large, diverse set of stereo video sequences recorded in streets from 50 different cities. 5000 of these images have high quality pixel-level annotations; 20000 additional images have coarse annotations to enable methods that leverage large volumes of weakly-labeled data. Crucially, our effort exceeds previous attempts in terms of dataset size, annotation richness, scene variability, and complexity. Our accompanying empirical study provides an in-depth analysis of the dataset characteristics, as well as a performance evaluation of several state-of-the-art approaches based on our benchmark.Comment: Includes supplemental materia