Tranching and Pricing in CDO-Transactions

This paper empirically investigates the tranching and tranche pricing of European securitization transactions of corporate loans and bonds. Tranching allows the originator to issue bonds with strong quality differences and thereby attract heterogeneous investors. We find that the number of differently rated tranches in a transaction is inversely related to the quality of the underlying asset pool. Credit spreads on tranches in a transaction are inversely related to the number of tranches. The average price for transferring a unit of expected default risk, paid in a transaction, is inversely related to the default probability of the underlying asset pool. The average price, paid for a tranche, increases with the rating of the tranche, it is higher for the lowest rated tranche and very high for AAA-tranches in true sale-transactions. It varies little across butterfly spreads obtained from rated tranches except for the most senior spread.Securitization, information asymmetries, tranching of asset portfolios, risk premiums of tranches

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

Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process

In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-\alpha X_t) dt + \sigma dB_t$, and which is observed in continuous time. We derive an explicit representation of the generalized likelihood ratio test statistic assuming that the mean reversion function $L(t)$ is a finite linear combination of known basis functions. In the case of a periodic mean reversion function, we determine the asymptotic distribution of the test statistic under the null hypothesis

Monsters at the End of Time: Gog and Magog and Ethnic Difference in the Catalan Atlas (1375)

Although they are only mentioned briefly in Revelation, the destructive Gog and Magog formed an important component of apocalyptic thought for medieval European Christians, who associated Gog and Magog with a number of non-Christian peoples. Modern scholarship has focused primarily on medieval representations of Gog and Magog as Jews, largely dismissing other sources as obscure derivatives of these anti-Semitic depictions. However, the Catalan Atlas (1375), which depicts Gog and Magog as Tartars, problematizes this characterization. Created by Abraham Cresques, a Jewish cartographer, for Pedro IV of Aragon, I argue that the Atlas modifies traditional Christian apocalyptic narratives—and particularly those involving Gog and Magog—to critique Christian thought about the past, present, and apocalyptic future. This conclusion stresses the importance of analyzing depictions of Gog and Magog within their immediate historical contexts and challenges the primacy that has been given to anti-Semitic representations of Gog and Magog

Label-free microfluidic enrichment of ring-stage Plasmodium falciparum-infected red blood cells using non-inertial hydrodynamic lift

<b>Background</b> Understanding of malaria pathogenesis caused by Plasmodium falciparum has been greatly deepened since the introduction of in vitro culture system, but the lack of a method to enrich ring-stage parasites remains a technical challenge. Here, a novel way to enrich red blood cells containing parasites in the early ring stage is described and demonstrated.<p></p> <b>Methods</b> A simple, straight polydimethylsiloxane microchannel connected to two syringe pumps for sample injection and two height reservoirs for sample collection is used to enrich red blood cells containing parasites in the early ring stage (8-10 h p.i.). The separation is based on the non-inertial hydrodynamic lift effect, a repulsive cell-wall interaction that enables continuous and label-free separation with deformability as intrinsic marker.<p></p> <b>Results</b> The possibility to enrich red blood cells containing P. falciparum parasites at ring stage with a throughput of ~12,000 cells per hour and an average enrichment factor of 4.3 ± 0.5 is demonstrated.<p></p> <b>Conclusion</b> The method allows for the enrichment of red blood cells early after the invasion by P. falciparumparasites continuously and without any need to label the cells. The approach promises new possibilities to increase the sensitivity of downstream analyses like genomic- or diagnostic tests. The device can be produced as a cheap, disposable chip with mass production technologies and works without expensive peripheral equipment. This makes the approach interesting for the development of new devices for field use in resource poor settings and environments, e.g. with the aim to increase the sensitivity of microscope malaria diagnosis.<p></p&gt

Dynamics of Fluid Vesicles in Flow through Structured Microchannels

The dynamics of fluid vesicles is studied under flow in microchannels, in which the width varies periodically along the channel. Three types of flow instabilities of prolate vesicles are found. For small quasi-spherical vesicles -- compared to the average channel width -- perturbation theory predicts a transition from a state with orientational oscillations of a fixed prolate shape to a state with shape oscillations of symmetrical ellipsoidal or bullet-like shapes with increasing flow velocity. Experimentally, such orientational oscillations are observed during the slow migration of a vesicle towards the centerline of the channel. For larger vesicles, mesoscale hydrodynamics simulations and experiments show similar symmetric shape oscillation at reduced volumes $V^* \gtrsim 0.9$. However, for non-spherical vesicles with $V^* \lesssim 0.9$, shapes are found with two symmetric or a single asymmetric tail.Comment: 6 pages, 6 figure