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http://hdl.handle.net/10419/27807
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| Title: | | Investitionen in Collateralized Debt Obligations  |
| 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
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