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
Publisher:	Frankfurt a. M. : Hochschule für Bankwirtschaft (HfB)
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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Series:	Arbeitsberichte der Hochschule für Bankwirtschaft ; 44
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	German
Other identifiers:	378769383 [GVK] hdl:10419/27807 [Handle] RePEc:zbw:fsfmwp:44 [RePEc]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G24 - Investment Banking; Venture Capital; Brokerage
Source:	EconStor

Persistent link: https://www.econbiz.de/10010298883