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An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products

Claussen, Arndt ; Löhr, Sebastian ; Rösch, Daniel



Abstract

The global financial crisis has shown that many financial institutions dealing with credit derivatives were exposed to severe unexpected losses. This indicates that systematic influences are decisively underestimated particularly with regard to structured products like securitized tranches of collateralized debt obligations. Our analytical study addresses these systematic effects: We provide a ...

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