EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/27807
  
Title:Investitionen in Collateralized Debt Obligations PDF Logo
Authors:Heidorn, Thomas
König, Lars
Issue Date:2003
Series/Report no.:Arbeitsberichte der Hochschule für Bankwirtschaft 44
Abstract: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.
Subjects:Ausfallrisiko , Ausfallkorrelation , Binomial Expansion Technique , Credit Enhancement , Diversity Score , Excess Spread , Expected Loss , Rating Arbitrage , Target Rating , Waterfall , Weighted Average Rating
JEL:G10
G12
G24
Persistent Identifier of the first edition:urn:nbn:de:101:1-2008072102
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

Files in This Item:
File Description SizeFormat
378769383.PDF414.02 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/27807

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.