Systematic risk of CDOs and CDO arbitrage
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- Mählmann, Thomas, 2012. "Did investors outsource their risk analysis to rating agencies? Evidence from ABS-CDOs," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1478-1491.
- Mählmann, Thomas, 2013. "Hedge funds, CDOs and the financial crisis: An empirical investigation of the “Magnetar trade”," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 537-548.
- repec:eee:jfinec:v:127:y:2018:i:3:p:505-518 is not listed on IDEAS
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KeywordsCollateralized debt obligations (CDO); arbitrage CDOs; credit rating; expected loss profile; bond representation; systematic risk of CDO tranches; CDO pricing;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-BAN-2009-12-19 (Banking)
- NEP-FMK-2009-12-19 (Financial Markets)
- NEP-RMG-2009-12-19 (Risk Management)
- NEP-URE-2009-12-19 (Urban & Real Estate Economics)
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