Investitionen in Collateralized Debt Obligations

Arbeitspapier

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.

Object Details

• Language: Deutsch

References and Relationships

• Bibliographic citation: Series: Arbeitsberichte der Hochschule für Bankwirtschaft ; No. 44

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Subject: Ausfallrisiko , Ausfallkorrelation , Binomial Expansion Technique , Credit Enhancement , Diversity Score , Excess Spread , Expected Loss , Rating Arbitrage , Target Rating , Waterfall , Weighted Average Rating

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Heidorn, Thomas ; König, Lars
• Event: Veröffentlichung
• (who): Hochschule für Bankwirtschaft (HfB)
• (where): Frankfurt a. M.
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/27807
• URN: urn:nbn:de:101:1-2008072102
• Last update: 22.04.2025, 2:16 PM CEST