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Diversification Potentials of Structured Securities

Plank, Kilian (2010) Diversification Potentials of Structured Securities. . (Unpublished)

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Abstract

Diversification has been a frequently stated benefit of structured securitizations. However, in the course of the subprime credit crisis CDOs and especially ABS CDOs turned out to be risk concentrations. In this article, we examine different diversification patterns of structured securities which were deemed beneficial by investors. We find that name diversification is largely ineffective and may ...

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Item Type:Article
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:Diversification, Risk Concentration, CDO, Structured Credit
Subjects:300 Social sciences > 330 Economics
Status:Unpublished
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Owner: Kilian Plank
Deposited On:16 Aug 2010 10:08
Last Modified:20 Aug 2011 13:26
Item ID:16129
Owner Only: item control page
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