Focusing on captive finance units in the automotive industry Alexander Hener analyzes which particular contracts from a pool of finance or lease contracts should be securitized in an asset-backed securities (ABS) transaction. He shows which interest groups and potential conflicts may cause portfolios to be inefficiently priced, and suggests securitization as an integrative solution. When Alexander Hener started to work on this thesis three years ago, he may not have antic ipated today's relevance of his research. The importance is for example reflected in the first asset-backed securities of underlying German auto finance contracts in November 2004, which has been structured by Volkswagen Financial Services. As result of the True-Sale Initiative fostered by the Kreditanstalt fur Wiederaufbau more such transactions can be expected in the future. In this context Mr. Hener analyzes an intuitive question with relevance not only for German captives: which particular contracts from a pool of finance or lease contracts should be securitized in an ABS transaction? The author first analyzes the reasons why portfolios in particular of automotive captives tend to be inefficiently priced. He sets out in detail different interest groups and potential conflicts in auto finance and lease, and suggests securitization as an integrative sol ution. Taking the issuer's point of view a framework is developed which suggests a decision for each contract as to whether it is to be assigned to an ABS transaction. Among other the framework models regulatory capital arbitrage, return on equity and return on risk-adjusted capital optimization. For such an approach the underlying risks, in particular credit risk, must be modeled. With this purpose in mind the feasibility of various credit risk models in the industry context is extensively examined. 1 Introduction.- 2 The Automotive Industry.- 2.1 Relevance of the Industry and of the Captive Financial Companies.- 2.2 Risk Management in Industry and Commerce.- 2.3 Stakeholders in the Automotive Industry.- 2.4 Summary.- 3 Credit Risk Models.- 3.1 Model Requirements in the Automotive Industry.- 3.2 Elements of Credit Risk Modeling.- 3.3 Model Selection.- 4 CreditRisk+ and the Regulatory Model.- 4.1 The Original CreditRisk+ Model.- 4.2 Framework of CreditRisk+.- 4.3 Extensions of CreditRisk+.- 4.4 Implementation of CreditRisk+.- 4.5 The Regulatory Model.- 5 Credit Risk Management.- 5.1 Risk Measures and Contributions.- 5.2 Portfolio Risk Measures and Contributions in CreditRisk+.- 6 A Model for Securitization.- 6.1 Capital and the Management of Financial Institutions.- 6.2 Securitization.- 6.3 Securitization in the Automotive Industry.- 6.4 A Model for the Securitization of Car Financing Contracts.- 6.5 Regulatory Framework.- 7 Empirical Analysis.- 7.1 Implementation.- 7.2 Data Information and Manipulations.- 7.3 Results.- 7.4 Conclusion.- 8 Summary and Topics for Future Research.- Appendix: Explicit Calculations for the CR+ Model.- Appendix: Abbreviations.- Appendix: Variables. Der Verfasser promovierte extern bei Prof. Dr. Johannes Schneider am Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftstheorie, der Katholischen Universität Eichstätt. In dieser Zeit war er als Doktorand am Forschungszentrum von DaimlerChrysler in Ulm tätig.
