Show simple item record

dc.contributor.authorAdams, Andrew T
dc.contributor.authorClunie, James
dc.contributor.authorBhatt, Rajiv
dc.date.accessioned2007-08-03T08:09:37Z
dc.date.available2007-08-03T08:09:37Z
dc.date.issued2005
dc.identifier.isbn1 902850 78 5
dc.identifier.urihttp://hdl.handle.net/1842/1825
dc.description.abstractWe show that there are risks (default location risk and overlap risk) unique to CDO-squared structures. These risks may not be well-understood by investors and credit rating agencies. As a result, the tranche of a CDO-squared having the same name and similar rating to the tranche of a CDO may have a very different risk profile, and the returns offered to CDO-squared investors may be unattractive on a risk-adjusted basis. We believe that the hidden risks in CDO-squared structures will be clearly exposed in a distressed credit environment.en
dc.format.extent248180 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherManagement School and Economics. The University of Edinburghen
dc.relation.ispartofseriesCFMRen
dc.relation.ispartofseries05.03en
dc.subjectecononicsen
dc.titleHidden Risks In The CDO - Squared Marketen
dc.typeWorking Paperen


Files in this item

This item appears in the following Collection(s)

Show simple item record