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Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10003891104

The total costs of corporate borrowing in the loan market : don’t ignore the fees

Berg, Tobias; Saunders, Anthony; Steffen, Sascha - 2016

evidence that: (1) fees are used to price options embedded in loan contracts such as the draw-down option for credit lines and … the cancellation option in term loans; and (2) fees are used to screen borrowers about the likelihood of exercising these …

Persistent link: https://www.econbiz.de/10011436292

The total costs of corporate borrowing in the loan market : don't ignore the fees

Berg, Tobias; Saunders, Anthony; Steffen, Sascha - 2015

evidence that: (1) fees are used to Price options embedded in loan contracts such as the draw-down option for credit lines and … the cancellation option in term loans; and (2) fees are used to screen borrowers about the likelihood of exercising these …

Persistent link: https://www.econbiz.de/10010480935