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Intrinsic risks and structuring risks of structured finance

Plank, Kilian


The debate about the role of structured finance securities like ABS or CDOs in the subprime crisis is representative for a gap in the theory of securitization which in the past was focused on valuation and hedging issues. The area of real-world credit risk analysis which is the foundation for risk and capital management was largely neglected. In this paper we examine structuring risks as well as ...


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