Matches in SemOpenAlex for { <https://semopenalex.org/work/W1998814048> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W1998814048 endingPage "113" @default.
- W1998814048 startingPage "96" @default.
- W1998814048 abstract "Investment in residential subprime mortgages through structured products was at the heart of the financial crisis that began in 2007. Perhaps the most toxic such product was the CDO-squared. CDO-squareds are CDOs (collateralized debt obligations) with tranches of other CDOs serving as their collateral pool. CDO-squareds on mortgage-backed securities (ABS-CDOs) issued vast quantities of AAA rated securities that quickly fell to market values of a few cents on the dollar. This article examines ABS-CDOs with two primary purposes. First, it provides an intuitive explanation of ABS-CDOs, including their characteristics, risks, and models. Second, it performs a comprehensive sensitivity analysis of the AAA senior tranche width with respect to various parameters based on the Hull and White model of mortgage-backed securities. The authors find that ABSCDO senior tranche widths were unreasonable prior to the financial collapse that began in 2007, and they attribute the associated rating errors with the non-linearity, hyper-sensitivity, and complexity of the risks of the products with respect to their underlying parameters. Simply put, there is no reliable basis on which accurate measurements of risk can be made using existing data and theory. <b>TOPICS:</b>Asset-backed securities (ABS), CLOs, CDOs, and other structured credit" @default.
- W1998814048 created "2016-06-24" @default.
- W1998814048 creator A5016391596 @default.
- W1998814048 creator A5017915907 @default.
- W1998814048 creator A5054662100 @default.
- W1998814048 creator A5062406765 @default.
- W1998814048 creator A5065983056 @default.
- W1998814048 creator A5088886764 @default.
- W1998814048 creator A5020699016 @default.
- W1998814048 date "2011-07-31" @default.
- W1998814048 modified "2023-10-14" @default.
- W1998814048 title "CDO Squareds: <i>The Case of Subprime Mortgages</i>" @default.
- W1998814048 cites W2028905875 @default.
- W1998814048 cites W2052336167 @default.
- W1998814048 cites W2123552823 @default.
- W1998814048 cites W2142282274 @default.
- W1998814048 cites W2282382832 @default.
- W1998814048 cites W3121143455 @default.
- W1998814048 cites W3123341755 @default.
- W1998814048 doi "https://doi.org/10.3905/jsf.2011.17.2.096" @default.
- W1998814048 hasPublicationYear "2011" @default.
- W1998814048 type Work @default.
- W1998814048 sameAs 1998814048 @default.
- W1998814048 citedByCount "3" @default.
- W1998814048 countsByYear W19988140482015 @default.
- W1998814048 countsByYear W19988140482019 @default.
- W1998814048 countsByYear W19988140482022 @default.
- W1998814048 crossrefType "journal-article" @default.
- W1998814048 hasAuthorship W1998814048A5016391596 @default.
- W1998814048 hasAuthorship W1998814048A5017915907 @default.
- W1998814048 hasAuthorship W1998814048A5020699016 @default.
- W1998814048 hasAuthorship W1998814048A5054662100 @default.
- W1998814048 hasAuthorship W1998814048A5062406765 @default.
- W1998814048 hasAuthorship W1998814048A5065983056 @default.
- W1998814048 hasAuthorship W1998814048A5088886764 @default.
- W1998814048 hasConcept C10138342 @default.
- W1998814048 hasConcept C112846952 @default.
- W1998814048 hasConcept C139719470 @default.
- W1998814048 hasConcept C144133560 @default.
- W1998814048 hasConcept C162118730 @default.
- W1998814048 hasConcept C162324750 @default.
- W1998814048 hasConcept C21780383 @default.
- W1998814048 hasConcept C22738907 @default.
- W1998814048 hasConcept C2777910564 @default.
- W1998814048 hasConcept C2778300220 @default.
- W1998814048 hasConcept C2780619108 @default.
- W1998814048 hasConcept C2781271063 @default.
- W1998814048 hasConcept C68799949 @default.
- W1998814048 hasConcept C73283319 @default.
- W1998814048 hasConcept C86537402 @default.
- W1998814048 hasConcept C97330809 @default.
- W1998814048 hasConceptScore W1998814048C10138342 @default.
- W1998814048 hasConceptScore W1998814048C112846952 @default.
- W1998814048 hasConceptScore W1998814048C139719470 @default.
- W1998814048 hasConceptScore W1998814048C144133560 @default.
- W1998814048 hasConceptScore W1998814048C162118730 @default.
- W1998814048 hasConceptScore W1998814048C162324750 @default.
- W1998814048 hasConceptScore W1998814048C21780383 @default.
- W1998814048 hasConceptScore W1998814048C22738907 @default.
- W1998814048 hasConceptScore W1998814048C2777910564 @default.
- W1998814048 hasConceptScore W1998814048C2778300220 @default.
- W1998814048 hasConceptScore W1998814048C2780619108 @default.
- W1998814048 hasConceptScore W1998814048C2781271063 @default.
- W1998814048 hasConceptScore W1998814048C68799949 @default.
- W1998814048 hasConceptScore W1998814048C73283319 @default.
- W1998814048 hasConceptScore W1998814048C86537402 @default.
- W1998814048 hasConceptScore W1998814048C97330809 @default.
- W1998814048 hasIssue "2" @default.
- W1998814048 hasLocation W19988140481 @default.
- W1998814048 hasOpenAccess W1998814048 @default.
- W1998814048 hasPrimaryLocation W19988140481 @default.
- W1998814048 hasRelatedWork W1502627865 @default.
- W1998814048 hasRelatedWork W1527713525 @default.
- W1998814048 hasRelatedWork W1552384702 @default.
- W1998814048 hasRelatedWork W1556933256 @default.
- W1998814048 hasRelatedWork W2503363732 @default.
- W1998814048 hasRelatedWork W2511964615 @default.
- W1998814048 hasRelatedWork W3123704647 @default.
- W1998814048 hasRelatedWork W3125349284 @default.
- W1998814048 hasRelatedWork W589792431 @default.
- W1998814048 hasRelatedWork W2129174107 @default.
- W1998814048 hasVolume "17" @default.
- W1998814048 isParatext "false" @default.
- W1998814048 isRetracted "false" @default.
- W1998814048 magId "1998814048" @default.
- W1998814048 workType "article" @default.