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Keywords = asset backed security (ABS)

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18 pages, 657 KB  
Article
Determining Critical Success Factors for Public–Private Partnership Asset-Backed Securitization: A Structural Equation Modeling Approach
by Li Liu, Yubo Guo, Chuan Chen and Igor Martek
Buildings 2021, 11(5), 199; https://doi.org/10.3390/buildings11050199 - 9 May 2021
Cited by 14 | Viewed by 5225
Abstract
Public–private partnership (PPP) has been widely applied in China and many developing countries in the recent decade. As new PPP projects gradually enter the operational phase, the issue of refinancing becomes increasingly important. PPP–ABS plays an indispensable role in PPP project refinancing. The [...] Read more.
Public–private partnership (PPP) has been widely applied in China and many developing countries in the recent decade. As new PPP projects gradually enter the operational phase, the issue of refinancing becomes increasingly important. PPP–ABS plays an indispensable role in PPP project refinancing. The factors that promote the success of the emerging PPP–ABS in the China financial market need to be determined. To accomplish two objectives, namely, to identify critical success factors (CSFs) and to explore the relationship between these factors and the success of the PPP asset-backed securitization (PPP–ABS) of this research, methods such as a questionnaire survey and structural equation modeling (SEM) were conducted successively. Four success factors, including underlying asset quality (UAQ), original equity holder credit (OEHC), rationality of security design (RoSD) and maturity of relative institutions (MoRI), were identified in this study. Consequently, nineteen theoretical hypotheses were developed and tested. It is shown in the SEM approach that UAQ and OEHC positively influence the success of PPP–ABS, alongside issuance characteristics (IC) that mediate the relationship between the success of PPP–ABS and UAQ, RoSD and MoRI, respectively. This finding increased knowledge of PPP–ABS and how investors and government can benefit from it. Full article
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26 pages, 460 KB  
Article
Credit Rating and Pricing: Poles Apart
by Andreas Blöchlinger
J. Risk Financial Manag. 2018, 11(2), 27; https://doi.org/10.3390/jrfm11020027 - 23 May 2018
Cited by 1 | Viewed by 5260
Abstract
Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can vary substantially. As I demonstrate in a Monte Carlo analysis, highly-rated [...] Read more.
Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can vary substantially. As I demonstrate in a Monte Carlo analysis, highly-rated structured finance bonds can exhibit far higher non-linear systematic risks than lowly-rated corporate bonds. I value credit instruments under a four-moment CAPM, between and within some markets there is no one-to-one relation between expected loss (rating) and credit spread (pricing). The linear CAPM beta is insufficient, buyers and sellers need also the same information on non-linear risk to have an equilibrium. Full article
(This article belongs to the Special Issue Risk and Financial Instability)
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