Compartir
Finance and Economics Discussion Series: Understanding the Risk of Synthetic Cdos (en Inglés)
United States Federal Reserve Board
(Autor)
·
Michael S. Gibson
(Autor)
·
Bibliogov
· Tapa Blanda
Finance and Economics Discussion Series: Understanding the Risk of Synthetic Cdos (en Inglés) - United States Federal Reserve Board ; Gibson, Michael S.
23,66 €
26,29 €
Ahorras: 2,63 €
Elige la lista en la que quieres agregar tu producto o crea una nueva lista
✓ Producto agregado correctamente a la lista de deseos.
Ir a Mis Listas
Origen: Estados Unidos
(Costos de importación incluídos en el precio)
Se enviará desde nuestra bodega entre el
Martes 23 de Julio y el
Martes 06 de Agosto.
Lo recibirás en cualquier lugar de España entre 1 y 5 días hábiles luego del envío.
Reseña del libro "Finance and Economics Discussion Series: Understanding the Risk of Synthetic Cdos (en Inglés)"
Synthetic collateralized debt obligations, or synthetic CDOs, are popular vehicles for trading the credit risk of a portfolio of assets. Following a brief summary of the development of the synthetic CDO market, I draw on recent innovations in modeling to present a pricing model for CDO tranches that does not require Monte Carlo simulation. I use the model to analyze the risk characteristics of the tranches of synthetic CDOs. The analysis shows that although the more junior CDO tranches -- equity and mezzanine tranches -- typically contain a small fraction of the notional amount of the CDO's reference portfolio, they bear a majority of the credit risk. One implication is that credit risk disclosures relying on notional amounts are especially inadequate for firms that invest in CDOs. I show how the equity and mezzanine tranches can be viewed as leveraged exposures to the underlying credit risk of the CDO's reference portfolio. Even though mezzanine tranches are typically rated investment-grade, the leverage they possess implies their risk (and expected return) can be many times that of an investment-grade corporate bond. The paper goes on to show how CDO tranches and other innovative credit products, such as single-tranche CDOs and first-to-default basket swaps, are sensitive to the correlation of defaults among the credits in the reference portfolio. Differences of opinion among market participants as to the correct default correlation can create trading opportunities. Finally, the paper shows how the dependence of CDO tranches on default correlation can also be characterized and measured as an exposure to the business cycle, or as "business cycle risk." A mezzanine tranche, in particular, is highly sensitive to business cycle risk.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
Todos los libros de nuestro catálogo son Originales.
El libro está escrito en Inglés.
La encuadernación de esta edición es Tapa Blanda.
✓ Producto agregado correctamente al carro, Ir a Pagar.
