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Credit Rating Impact on CDO Evaluation

Rösch, Daniel and Scheule, Harald (2008) Credit Rating Impact on CDO Evaluation. Global Finance Journal 19 (3), pp. 235-251.

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Abstract

One of the most significant developments in international credit markets in recent years has been the trade in Collateralized Debt Obligations (CDO), which has enabled financial institutions to repackage the credit risk of an asset portfolio into tranches to be transferred to investors. The present paper evaluates the credit risk of such a portfolio and the related tranches by applying two ...

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Item type:Article
Date:2008
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.gfj.2008.09.007DOI
Keywords:Business cycle; Collateralized Debt Obligation; Correlation; Credit risk; Default probability; Point-in-time; Portfolio; Through-the-cycle
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28316
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