The following descriptive paper surveys the various types of loan securitisation and provides a working definition of so-called collateralised loan obligations (CLOs). Free of the common rhetoric and slogans, which sometimes substitute for understanding of the complex nature of structured...

This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...

Seit Ausbruch der weltweiten Finanz- und Wirtschaftskrise 2007 findet in der Politik, den Medien und der Ökonomik eine breite Debatte zur Rolle und Regulierung der Ratingagenturen statt. Der vorliegende Artikel fokussiert explizit nur auf einen Aspekt dieser Debatte, nämlich die Rolle und...