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The Journal of Structured Finance

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Primary Article

In the Search for Better Yields, a CDO of CDOs Emerges

Alexander Batchvarov, William Davies and Altynay Davletova
The Journal of Structured Finance Winter 2005, 10 (4) 28-31; DOI: https://doi.org/10.3905/jsf.2005.470595
Alexander Batchvarov
A managing director at Merrill Lynch in London.
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  • For correspondence: alexander_batchvarov@ml.com
William Davies
A vice president at Merrill Lynch in London.
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  • For correspondence: william_davies@ml.com
Altynay Davletova
An assistant vice president at Merrill Lynch in London.
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  • For correspondence: altynay_davletova@ml.com
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Abstract

In times of low yields of single corporate names in cash and in corporate debt securities, the search for yield has directed investors' and structurers' attention to increasingly complex structures. The single-tranche collateralized debt obligation (CDO) has given way to the single-tranche CDO of CDOs, better known as CDO2. To understand the risk/reward profile of CDO2 securities, the authors investigate their default/loss distribution and correlation sensitivity. The article also illustrates the resilience of the different attachment points of the CDO2 to defaults in the underlying exposure pool and compares that to the “more traditional” single-tranche CDO.

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The Journal of Structured Finance
Vol. 10, Issue 4
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In the Search for Better Yields, a CDO of CDOs Emerges
Alexander Batchvarov, William Davies, Altynay Davletova
The Journal of Structured Finance Jan 2005, 10 (4) 28-31; DOI: 10.3905/jsf.2005.470595

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In the Search for Better Yields, a CDO of CDOs Emerges
Alexander Batchvarov, William Davies, Altynay Davletova
The Journal of Structured Finance Jan 2005, 10 (4) 28-31; DOI: 10.3905/jsf.2005.470595
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