Investitionen in Collateralized Debt Obligations

The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is carefully explained. On this basis the investment process in different tranches is described. Especially for the equity piece it can be shown, that a less diversified portfolio is more valuable.

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Year of publication:	2003
Authors:	Heidorn, Thomas ; König, Lars
Institutions:	Frankfurt School of Finance and Management
Subject:	Ausfallrisiko \| Ausfallkorrelation \| Binomial Expansion Technique \| Credit Enhancement \| Diversity Score \| Excess Spread \| Expected Loss \| Rating Arbitrage \| Target Rating \| Waterfall \| Weighted Average Rating

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Extent:	application/pdf
Series:	Frankfurt School - Working Paper Series. - ISSN 1436-9753.
Type of publication:	Book / Working Paper
Language:	German
Notes:	Number 44
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G24 - Investment Banking; Venture Capital; Brokerage
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005027050