The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities

Alfred Hamerle, Thilo Liebig and Hans-Jochen Schropp

Year of publication:	2013
Authors:	Hamerle, Alfred ; Liebig, Thilo ; Schropp, Hans-Jochen
Published in:	Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 1, p. 3-33
Subject:	Arbitrage \| Collateralised debt obligations (CDOs) \| Corporate bonds \| Financial crisis \| Merton models \| Systemic risk \| Original research \| Asset-Backed Securities \| Asset-backed securities \| Unternehmensanleihe \| Corporate bond \| Finanzkrise \| Kreditrisiko \| Credit risk \| Kapitalstruktur \| Capital structure \| Kreditsicherung \| Collateral \| Derivat \| Derivative \| Systemrisiko \| Kreditderivat \| Credit derivative \| Verbriefung \| Securitization \| Anleihe \| Bond \| Fremdkapital \| Debt financing \| Portfolio-Management \| Portfolio selection \| Verbindlichkeiten \| Corporate debt