Hamerle, Alfred and Plank, Kilian (2008) Stress-testing CDOs. The Journal of Risk Model Validation 2 (4, Special Issue 2008/09), pp. 51-64.
Full text not available from this repository.
Analyses regarding the responsibility of risk management for the current credit crisis have found a lack of stress tests as one important issue. In this article, we argue that stress tests are an even more important risk management tool with structured finance products such as collateralized debt obligations. We explain why the specific risk profile of such assets requires dynamic modeling. In an extensive case study, a stress-test comparison is made between portfolios including conventional bonds and structured products. The results clearly show the increased risk contribution of structured products which can only be revealed explicitly in a dynamic view.
|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, Immobilien- und Kapitalmärkte|
|Subjects:||300 Social sciences > 330 Economics|
300 Social sciences > 310 General statistics
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||Yes|
|Deposited On:||26 May 2009 10:53|
|Last Modified:||19 Jul 2010 12:32|