Synthetische Collateralized Debt Obligations
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Collateralized Debt Obligations
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Author : Bob Nagels
language : en
Publisher:
Release Date : 2013
Collateralized Debt Obligations written by Bob Nagels and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Deze paper tracht een zo volledig mogelijk inzicht te verschaffen in de eigenschappen en werking van de financiële instrumenten genaamd Collateralized Debt Obligations. Na een analyse van de karakteristieken en de werking van cash en synthetische CDOs, volgt een overzicht van de Bazel akkoorden en hun impact op de creatie van CDOs. Vervolgens zorgt een empirisch deel voor de voltooiing van de analyse aan de hand van de constructie van een CDO in Excel en een simulatie van twee mogelijke oorzaken die kunnen leiden tot een faling van de financiële constructie. Waar er bij een cash CDO een werkelijke overdracht plaatsvindt van onderliggende waarden die gebruikt worden voor de terugbetaling van de schulden, is dit bij een synthetische CDO niet het geval. Een synthetische CDO bestaat uit een reeks bilaterale akkoorden tussen de bank en de CDO en de investeerders en de CDO onder de vorm van Credit Default Swaps. Ook van belang zijn de Bazel akkoorden die een enorme invloed hebben op de creatie van CDOs. Een belangrijk doel is immers om de minimale kapitaalvereisten te doen dalen door de overdracht van activa naar de CDO of door het aangaan van een soort verzekering onder vorm van een CDS in het geval van synthetische CDOs. Het empirische deel ontleedt de vijf belangrijkste elementen van een CDO zijnde de inputs, vectoren, collateral, waterval en outputs. Ook wordt op twee wijzen gesimuleerd waar het fout kan gaan tijdens de looptijd van de CDO. Enerzijds wordt het effect getest van een hoger falingspercentage van de onderliggende activa dan voorzien. Anderzijds wordt er gekeken naar de gevolgen van een veel lager herstellingspercentage na faling dan werd geanticipeerd. Beiden blijken een significante invloed uit te oefenen.
Collateralized Debt Obligations
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Author : Laurie S. Goodman
language : en
Publisher: John Wiley & Sons
Release Date : 2002-11-25
Collateralized Debt Obligations written by Laurie S. Goodman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-11-25 with Business & Economics categories.
A practical guide to the features and investment characteristics of CDOs In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.
Developments In Collateralized Debt Obligations
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Author : Douglas J. Lucas
language : en
Publisher: John Wiley & Sons
Release Date : 2007-05-04
Developments In Collateralized Debt Obligations written by Douglas J. Lucas and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-04 with Business & Economics categories.
Developments In Collateralized Debt Obligations The fastest growing sector of the fixed income market is the market for collateralized debt obligations (CDOs). Fostered by the development of credit default swaps (CDS) on all types of indexes of corporate bonds, emerging market bonds, commercial loans, and structured products, new products are being introduced into this market with incredible speed. In order to keep up with this dynamic market and its various instruments, you need a guide that provides you with the most up-to-date information available. That's why Douglas Lucas, Laurie Goodman, Frank Fabozzi, and Rebecca Manning have created Developments in Collateralized Debt Obligations. Filled with in-depth insights regarding new products, like hybrid assets in ABS CDOs and trust preferred CDOs, and detailed discussions on important issues-such as the impact of CDOs on underlying collateral markets-this book will bring you completely up to speed on essential developments in this field. Written in a straightforward and accessible style, Developments in Collateralized Debt Obligations will enhance your understanding of this ever-evolving market-and its numerous products.
Collateralized Debt Obligations
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Author : Douglas J. Lucas
language : en
Publisher: John Wiley & Sons
Release Date : 2006-05-05
Collateralized Debt Obligations written by Douglas J. Lucas and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-05 with Business & Economics categories.
Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.
Collateralised Debt Obligations Cdo
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Author : M. Floßmann
language : de
Publisher: GBI Genios Wirtschaftsdatenbank GmbH
Release Date : 2003-01-07
Collateralised Debt Obligations Cdo written by M. Floßmann and has been published by GBI Genios Wirtschaftsdatenbank GmbH this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-01-07 with Social Science categories.
Collateralised Debt Obligations (CDO) sind Anleihen, die durch Unternehmensschuldverschreibungen oder Firmenkredite unterschiedlicher Bonitätsklassen unterlegt werden. Innerhalb des Gesamtmarktes Forderungsverbriefungen (Asset Backed Securities) stellen Collateralised Debt Obligations nach der Verbriefung privater Hypothekarkredite (Mortgage Backed Securities) die zweitwichtigste Gruppe dar. Gerade für Kreditinstitute bietet die Begebung von CDO-Anleihen die Möglichkeit, ihre Risikoaktiva im Firmenkundengeschäft abzubauen bzw. aktiv zu beeinflussen. Die unter dem Stichwort „Basel II“ diskutierten neuen Eigenkapitalregeln für Kreditinstitute dürften dem Markt für Forderungsverbriefungen zusätzliche Impulse geben. (1) Trotz hohem Wachstum in den letzten Jahren besteht hierzulande noch erheblicher Nachholbedarf wie der hohe Bestand an Kreditrisiken deutscher Banken zeigt. In Deutschland dominieren synthetische Transaktionen, bei denen lediglich das Ausfallrisiko, jedoch nicht die Forderung selbst übertragen wird.
Structured Finance And Collateralized Debt Obligations
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Author : Janet M. Tavakoli
language : en
Publisher: John Wiley & Sons
Release Date : 2008-09-22
Structured Finance And Collateralized Debt Obligations written by Janet M. Tavakoli and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-22 with Business & Economics categories.
An up-to-date look at the exploding CDO and structured credit products market In this fully updated Second Edition, financial expert Janet Tavakoli provides readers with a comprehensive look at the CDO and structured credit products market amid recent developments. In addition to a detailed overview of the market, this book presents key issues in valuing structured financial products and important quality control issues. Tavakoli shares her experiences in this field, as she examines important securitization topics, including the huge increase in CDO arbitrage created by synthetics, the tranches most at risk from new technology, dumping securitizations on bank balance sheets, the abuse of offshore vehicles by companies, the role of hedge funds, critical issues with subprime, Alt-A, and prime mortgage securitizations, and securitizations made possible by new securitization techniques and the Euro. While providing an overview of the market and its dynamic growth, Tavakoli takes the time to explore the types of products now offered, new hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs.
Synthetische Collateralized Debt Obligations
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Author : Stephan Jortzik
language : de
Publisher: BoD – Books on Demand
Release Date : 2006
Synthetische Collateralized Debt Obligations written by Stephan Jortzik and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Collateralized Debt Obligations
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Author : Markus Lorenz
language : en
Publisher: diplom.de
Release Date : 2008-10-22
Collateralized Debt Obligations written by Markus Lorenz and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-22 with Business & Economics categories.
Inhaltsangabe:Abstract: This work aims to give the reader a holistic introduction to Collateralized Debt Obligations (CDOs), an asset category which has recently experienced both popularity and criticism. Collateralized Debt Obligations represent a subset of asset-backed securities. As opposed to classical types of asset-backed-securities like mortgage-backed securities or credit card debt-backed securities, a Collateralized Debt Obligation is a vehicle transforming bank loans or commercial paper into tranches of traded securities. While Collateralized Debt Obligations have been an established part of the U.S. fixed income market, it was only recently that academics showed interest in this asset category. From an asset pricing standpoint, CDOs represent a challenge as credit risk from a heterogeneous pool is passed through to tranches. Hence, asset pricing models have to account for expected defaults and default correlation on the one hand while incorporating the structural support the CDO is offering to the debt tranches on the other. Also, regulatory agencies such as the Basel Committee on Banking Supervision have increasingly covered CDOs and their use in credit risk management, thus further stimulating interest in this asset category. The report is mainly organized in three parts. The first part presents the basic ideas of Collateralized Debt Obligation as well as their structure and principal economics. Part II is the core of the report focusing on the aforementioned asset pricing problem and presenting various models to cope with it. Finally, the third part presents some of the multifaceted applications of Collateral Debt Obligations and concludes with an outlook for the product category. Here, special focus is laid on the European and German market as this is seen as a major area for growth. Inhaltsverzeichnis:Table of Contents: Index of figuresv Index of tablesvi Prefacevii 1.INTRODUCTION1 1.1Definitions1 1.2Mathematical Classification2 1.3Purpose and Relevance of CDOs4 1.4Motivation and Aim of the Study6 2.STRUCTURE AND DESIGN OF CDOS8 2.1Underlying Assets9 2.2Tranches10 2.3Purpose11 2.3.1Risk Transfer11 2.3.2Credit Risk Pricing Arbitrage11 2.4Credit Structure13 2.4.1Market Value Structure13 2.4.2Cash Flow Structure13 2.5Summary and Typical CDO Structures15 3.RATIONALE AND ECONOMIC FEATURES18 3.1Incentives to enter CDO Contracts19 3.1.1Comparative Advantages in Holding Specific Risks19 3.1.2Incentives for Equity [...]
Collateralized Debt Obligations
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Author : E. Mrudula
language : en
Publisher:
Release Date : 2006
Collateralized Debt Obligations written by E. Mrudula and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Collateralized debt obligations categories.
Collateralized Debt Obligations (CDOs) are perhaps some of the most important innovations in the field of securitization. Part of the marketable instruments issued by the Special Purpose vehicle for investors, they are backed by many specific assets such
Developments In Collateralized Debt Obligations
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Author : Douglas J. Lucas
language : en
Publisher: Wiley
Release Date : 2007-03
Developments In Collateralized Debt Obligations written by Douglas J. Lucas and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03 with Business & Economics categories.
Developments In Collateralized Debt Obligations The fastest growing sector of the fixed income market is the market for collateralized debt obligations (CDOs). Fostered by the development of credit default swaps (CDS) on all types of indexes of corporate bonds, emerging market bonds, commercial loans, and structured products, new products are being introduced into this market with incredible speed. In order to keep up with this dynamic market and its various instruments, you need a guide that provides you with the most up-to-date information available. That's why Douglas Lucas, Laurie Goodman, Frank Fabozzi, and Rebecca Manning have created Developments in Collateralized Debt Obligations. Filled with in-depth insights regarding new products, like hybrid assets in ABS CDOs and trust preferred CDOs, and detailed discussions on important issues--such as the impact of CDOs on underlying collateral markets--this book will bring you completely up to speed on essential developments in this field. Written in a straightforward and accessible style, Developments in Collateralized Debt Obligations will enhance your understanding of this ever-evolving market--and its numerous products.