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Stress-testing CDOs

Hamerle, Alfred and Plank, Kilian (2008) Stress-testing CDOs. The Journal of Risk Model Validation 2 (4, Special Issue 2008/09), pp. 51-64.

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Abstract

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 ...

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Item Type:Article
Date:2008
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
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Andreas Igl
Deposited On:26 May 2009 10:53
Last Modified:19 Jul 2010 12:32
Item ID:7996
Owner Only: item control page
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