Hidden Risks In The CDO - Squared Market

dc.contributor.author	Adams, Andrew T
dc.contributor.author	Clunie, James
dc.contributor.author	Bhatt, Rajiv
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
dc.format.mimetype	application/pdf
dc.language.iso	en	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