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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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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 framework.

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Item Type:Monograph (Working Paper)
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Keywords:CDO, Structured Credit, Financial Crisis, Risk
Dewey Decimal Classification:300 Social sciences > 310 General statistics
Created at the University of Regensburg:Yes
Deposited On:01 Jun 2010 15:42
Last Modified:23 Sep 2011 13:15
Item ID:15179
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