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Stress-testing CDOs

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

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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
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
Dewey Decimal Classification:300 Social sciences > 330 Economics
300 Social sciences > 310 General statistics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:7996
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