Plank, Kilian (2011) Intrinsic risks and structuring risks of structured finance. Discussion Paper.
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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)|
|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|
|Created at the University of Regensburg:||Yes|
|Deposited On:||26 Sep 2011 07:57|
|Last Modified:||31 Jul 2012 06:48|