Investitionen in Collateralized Debt Obligations

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is carefully explained. On thisbasis the investment process in different tranches is described. Especially for theequity piece it can be shown, that a less diversified portfolio is more valuable.

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Year of publication:	2003-05-01
Authors:	Heidorn, Thomas ; König, Lars
Institutions:	Frankfurt School of Finance & Management
Subject:	Ausfallrisiko \| Portfolio Selection \| Risikoverteilung

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1 Einleitung
1.1 Struktur von Collateralized Debt Obligations
1.2 Typisierung von CDO-Transaktionen
1.3 Art des Risikotransfers
1.4 Funktionsweise von Collateralized Debt Obligations
1.5 Beweggründe für CDO-Emissionen
2 Spezifische CDO Investmentrisiken
2.1 Bonitäts- und Ausfallrisiko
2.2 Marktrisiko – Häufung der Ausfälle
2.3 Timing Risiko der erwarteten Ausfälle
2.4 Risiko bezüglich der Recoveryrate
2.5 Agency Risiken
3 Moody’s Ratingmodell für Collateralized Debt Obligations
3.1 Durchschnittliches Rating (WARF)
3.2 Diversity Score
3.3 Binomial Expansion Technique
3.4 Beispielrechnung
4 CDO Investment
4.1 Investmentprozess
4.2 Rendite vs. Risiko
5 Ausblick
Literatur
Arbeitsberichteverzeichnis

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