Search Results - subject:"CDOs"

The contribution of wealth concentration to the subprime crisis: a quantitative estimation.

Goda, Thomas; Lysandrou, Photis - UNIVERSIDAD EAFIT - 2011

through the mass production of CDOs …

Persistent link: https://www.econbiz.de/10010762824

Troubling Research on Troubled Assets: Charles Zheng on the U.S. Toxic Asset Auction Plan

Wilson, Linus - In: Econ Journal Watch 8 (2011) 1, pp. 33-38

Charles Zheng (2009) purports to model the U.S. toxic asset auction plan. In the model, “moderately poor bidders outbid rich bidders in such auctions,” because poor bidders have less to lose by defaulting on taxpayer loans. Thus, says Zheng: “After defeating their rich rivals and acquiring...

Persistent link: https://www.econbiz.de/10008803010

Securitized Products, Financial Regulation, and Systemic Risk

Fujii, Mariko - Asian Development Bank Institute, Asian Development Bank - 2010

It is widely believed that the practice of securitization is one of the causes that led to the 2007–08 financial crisis. In this paper, I show that securitized products such as collateralized debt obligations (CDO) are particularly vulnerable to systematic risk and tend to show higher tail...

Persistent link: https://www.econbiz.de/10008487631

Securitization and Bank Stability

Di Cesare, Antonio - Volkswirtschaftliche Fakultät, … - 2009

This paper analyzes the effects of CDO issuance on the risk of default of banks. Previous literature showed that the overall riskiness of a bank can increase when it sells part of the loans in its portfolio by issuing a CDO of which it retains the equity tranche. Using Monte Carlo simulations,...

Persistent link: https://www.econbiz.de/10005034378

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of the financial crisis. In the …. For this purpose we examine the risk profiles of Collateralized Debt Obligations (CDOs) in some detail. The analyses … these types of structures featured in many of the CDOs issued prior to the outbreak of the financial crisis. …

Persistent link: https://www.econbiz.de/10008509634

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the …. For this purpose we examine the risk profiles of Collateralized Debt Obligations (CDOs) in some detail. The analyses … these types of structures featured in many of the CDOs issued prior to the outbreak of the financial crisis. …

Persistent link: https://www.econbiz.de/10010299482

Monetary policy, regulation and volatile markets

Calverley, John; Restoy, Fernando; Thuesen, Jesper Ulriksen - New Trends in Asset Management: Exploring the … - 2008

Turmoil in financial markets causes reflection. Is monetary policy conducted in the most efficient way? Are regulatory and supervisory arrangements adequate when market volatility increases and financial institutions come under stress? In the present SUERF Study, we have collected the...

Persistent link: https://www.econbiz.de/10011705069

Monetary Policy, Regulation and Volatile Markets

Calverley, John P.; Restoy, Fernando; Thuesen, Jesper … - 2008

Persistent link: https://www.econbiz.de/10011689935

A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs

Albanese, Claudio; Vidler, Alicia - Volkswirtschaftliche Fakultät, … - 2007

reference names to produce a model for bespoke synthetic CDOs. The model captures volatility and outlook risk along with …

Persistent link: https://www.econbiz.de/10005837148

The contribution of wealth concentration to the subprime crisis : a quantitative estimation

Goda, Thomas; Lysandrou, Photis - In: Cambridge journal of economics 38 (2014) 2, pp. 301-327

Persistent link: https://www.econbiz.de/10010401606