"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing … considerably increased sensitivity to systematic risks. This has farreaching consequences for risk management, pricing and …

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a … allocation. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer achieved … tested and confirmed based on a unique data set. -- Non-compliance ; risk transfer ; securitization …

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

weakened by the banks´ liquidity management. …

analyzes the determinants of non-interest income and its impact on financial performance and the risk profile of German banks …