| dc.contributor.author | Adams, Andrew T | en |
| dc.contributor.author | Clunie, James | en |
| dc.contributor.author | Bhatt, Rajiv | en |
| dc.date.accessioned | 2007-08-03T08:09:37Z | |
| dc.date.available | 2007-08-03T08:09:37Z | |
| dc.date.issued | 2005 | |
| dc.identifier.isbn | 1 902850 78 5 | |
| dc.identifier.uri | http://hdl.handle.net/1842/1825 | |
| dc.description.abstract | We show that there are risks (default location risk and overlap risk) unique to CDO-squared structures. These risks may not be well-understood by investors and credit rating agencies. As a result, the tranche of a CDO-squared having the same name and similar rating to the tranche of a CDO may have a very different risk profile, and the returns offered to CDO-squared investors may be unattractive on a risk-adjusted basis. We believe that the hidden risks in CDO-squared structures will be clearly exposed in a distressed credit environment. | en |
| dc.format.extent | 248180 bytes | en |
| dc.format.mimetype | application/pdf | en |
| dc.language.iso | en | |
| dc.publisher | Management School and Economics. The University of Edinburgh | en |
| dc.relation.ispartofseries | CFMR | en |
| dc.relation.ispartofseries | 05.03 | en |
| dc.subject | Economics | en |
| dc.title | Hidden Risks In The CDO - Squared Market | en |
| dc.type | Working Paper | en |
