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Diversification Potentials of Structured Securities

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 (Unpublished)

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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
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:Diversification, Risk Concentration, CDO, Structured Credit
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Item ID:16129
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