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- W1764729131 abstract "The current financial crisis is a remarkable example of underestimation of systematic risk. To that end, we investigate risk characteristics of synthetic CDOs in detail. This requires a fully dynamic approach including the business cycle. We find significant dependence of tranche default probability (PD) and tranche loss given default (LGD) on the credit cycle state. Furthermore, we show the need of modeling LGD as stochastic and PD dependent process." @default.
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- W1764729131 date "2008-01-01" @default.
- W1764729131 modified "2023-09-27" @default.
- W1764729131 title "Dynamic Risk of CDOs" @default.
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