Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27807
Authors: 
Heidorn, Thomas
König, Lars
Year of Publication: 
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: 
Document Type: 
Working Paper

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