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Collateralized Debt Obligations: First Loss Piece Retention, Combination Notes, and Tranching (Europäische Hochschulschriften / European University Studies / Publications Universitaires Européennes)

Schaber, Albert

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ISBN 10: 3631587953 / ISBN 13: 9783631587959
Published by Peter Lang GmbH, Internationaler Verlag der Wissenschaften
New Condition: New Soft cover
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Series: Europaeische Hochschulschriften / European University Studies / Publications Universitaires Europeennes. Num Pages: 180 pages, 28, 5 fig., 23 tables. BIC Classification: KCA; KCBM; KFFK; KJMV1. Category: (P) Professional & Vocational. Dimension: 151 x 210 x 13. Weight in Grams: 246. . 2009. 1st New edition. Paperback. . . . . Books ship from the US and Ireland. Bookseller Inventory # V9783631587959

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Bibliographic Details

Title: Collateralized Debt Obligations: First Loss ...

Publisher: Peter Lang GmbH, Internationaler Verlag der Wissenschaften

Binding: Soft cover

Book Condition:New

About this title


This book offers insights into three different aspects of Collateralized Debt Obligations (CDOs). The first section covers a mechanism that explains the sale of first loss positions to investors. The theoretical model is based on a repeated game and focuses on the role of issuer reputation. The second section empirically analyzes combination notes. These are a particular type of security issued in CDOs, consisting of parts of different tranches of one CDO transaction. The findings show that combination notes are used as an equity transfer vehicle and that their tranching caters to segmented demand. The third section finally analyzes the tranching of CDOs. A transaction cost-based hypothesis of tranching is proposed and verified empirically.

About the Author:

The Author: Albert Schaber studied business administration at the Ludwig-Maximilians-University Munich (LMU) with stays abroad at the EMLYON Business School and the University of California at Berkeley. Having completed his studies he joined the Institute of Capital Market Research and Finance at LMU Munich as a research assistant. He currently works as a consultant in the financial services industry.

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