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Investitionen in Collateralized Debt Obligations

Author

Listed:
  • Heidorn, Thomas
  • König, Lars

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.

Suggested Citation

  • Heidorn, Thomas & König, Lars, 2003. "Investitionen in Collateralized Debt Obligations," Frankfurt School - Working Paper Series 44, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:44
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    File URL: https://www.econstor.eu/bitstream/10419/27807/1/378769383.PDF
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    References listed on IDEAS

    as
    1. Ecker, Thomas & Moormann, Jürgen, 1997. "Die Bank als Betreiberin einer elektronischen Shopping-Mall," Frankfurt School - Working Paper Series 4, Frankfurt School of Finance and Management.
    2. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Ausfallrisiko ; Ausfallkorrelation ; Binomial Expansion Technique ; Credit Enhancement ; Diversity Score ; Excess Spread ; Expected Loss ; Rating Arbitrage ; Target Rating ; Waterfall ; Weighted Average Rating;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • 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

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