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Intrinsic risks and structuring risks of structured finance

Plank, Kilian (2011) Intrinsic risks and structuring risks of structured finance. Discussion Paper.

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Abstract

The debate about the role of structured finance securities like ABS or CDOs in the subprime crisis is representative for a gap in the theory of securitization which in the past was focused on valuation and hedging issues. The area of real-world credit risk analysis which is the foundation for risk and capital management was largely neglected. In this paper we examine structuring risks as well as ...

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Item Type:Monograph (Discussion Paper)
Date:2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Research groups and research centres:Not selected
Keywords:Subprime Crisis, Securitization, CDO, Risk Management, Ratings, Model Risk
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Unknown
Created at the University of Regensburg:Yes
Owner: Kilian Plank
Deposited On:26 Sep 2011 07:57
Last Modified:31 Jul 2012 06:48
Item ID:13242
Owner Only: item control page
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