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Structured Credit Risk and the Crisis

Plank, Kilian (2010) Structured Credit Risk and the Crisis. Working Paper.

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Abstract

In this article we analyze the credit risks of structured securitizations. The subprime crisis shows clearly that these were not comprehensively understood so far. Here, we trace back several potential risk management flaws of the past. By means of an analytical CDO pool and tranche model we are able to study all risk aspects in a single ...

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Item Type:Monograph (Working Paper)
Date:2010
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:Immobilien- und Kapitalmärkte
Keywords:CDO, Structured Credit, Financial Crisis, Risk
Subjects:300 Social sciences > 310 General statistics
Status:Unknown
Refereed:Unknown
Created at the University of Regensburg:Yes
Owner: Kilian Plank
Deposited On:01 Jun 2010 15:42
Last Modified:23 Sep 2011 13:15
Item ID:15179
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