Investitionen in Collateralized Debt Obligations

Thomas Heidorn and Lars König

No 44, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

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.

Keywords: Ausfallrisiko; Ausfallkorrelation; Binomial Expansion Technique; Credit Enhancement; Diversity Score; Excess Spread; Expected Loss; Rating Arbitrage; Target Rating; Waterfall; Weighted Average Rating (search for similar items in EconPapers)
JEL-codes: G10 G12 G24 (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/27807/1/378769383.PDF (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:44

Access Statistics for this paper

More papers in Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().