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

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - In: Journal of risk 16 (2013/2014) 1, pp. 3-33

Persistent link: https://www.econbiz.de/10013262916

Spekulation oder Diversifikation? : strukturierte Kreditverbriefungen

Hamerle, Alfred; Schropp, Hans-Jochen - In: Risiko-Manager (2010) 20, pp. 1,10-22

Persistent link: https://www.econbiz.de/10008660050

Risikoadäquate Integration von Kreditverbriefungen in Kreditportfoliomodelle : Berücksichtigung der Risikoeigenschaften von CDO-Tranchen mit Hilfe der Bond-Repräsentation

Hamerle, Alfred; Jobst, Rainer - In: Risiko-Manager (2011) 1, pp. 1,8-17

Persistent link: https://www.econbiz.de/10008778766

Systematic Risk of Cdos and Cdo Arbitrage

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989251

Securitization Rating Performance and Agency Incentives

Rösch, Daniel - 2011

This paper provides an empirical study, which assesses the historical performance of credit rating agency (CRA) ratings for securitizations before and during the financial crisis. The paper finds that CRAs do not sufficiently address the systematic risk of the underlying collateral pools as well...

Persistent link: https://www.econbiz.de/10013133008