| 作者 |
 高盛 - 一场完美风暴(次贷危机简析）2008年10月 |
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请教：1。如果单纯是为了解决资金需求问题，为什么ABS不够用，非要CDO？ -- 勤劳 - (31 Byte) 2008-10-12 周日, 00:46 (669 reads) |
not_a_CTA
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作者：not_a_CTA 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
1。如果单纯是为了解决资金需求问题，为什么ABS不够用，非要CDO？
Collateralized debt obligations (CDOs) are similar to other asset-backed securities (ABS) in that the underlying collateral consists of a pool of cash flow producing obligations. CDOs differ from traditional ABS with respect to the type of assets underlying the collateral pool, the motivation for issuance and the relationship between the servicer and special purpose vehicle (SPV). CDOs' asset pools typically consist of loans (collateralized loan obligations - CLOs), higher yield bonds (collateralized bond obligation - CBOs), or a mixture of both. Furthermore, some CDO structures require active portfolio management by the servicer (portfolio manager) to maintain the asset base and reinvest maturing funds. The following diagram illustrates the different types of CDOs.
https://www.securitization.net/knowledge/transactions/tdcdo.asp
2。VAR=0那个是什么意思？
Introduction to Value at Risk (VAR) - Part 1
by David Harper,CFA, FRM
https://www.investopedia.com/articles/04/092904.asp
Introduction to Value at Risk (VAR) - Part 2
by David Harper,CFA, FRM
https://www.investopedia.com/articles/04/101304.asp
https://www.blackwellpublishing.com/content/BPL_Images/Content_store/Sample_chapter/0631227091/Allen_C01.pdf
3。我觉得多米诺顺序有点乱。
(ZT)
a lot of CDO has many CDS embedded (over hundreds of company/country names), with good/bad credit altogether. each CDO has several tranches (Equity, subordinate, senior, super senior). The rating agencies give them very high ratings to senior and super senior tranches. Because it is AAA rated, so insurance company, small bank all can buy it and treated it as a safe asset. But when defaults happen, the entire senior/super senior are no longer AAA rated... all of sudden all these assets price drop, and there is no market for it. All the values of these assets are subject to mark to market accounting treatment from their balance sheet...
you may want to try to watch this video to get "better" understanding
What is a collateralized debt obligation (CDO)? - 7.5 minute screencast
by David Harper, CFA, FRM, CIPM
https://www.bionicturtle.com/learn/article/what_is_a_collateralized_debt_obligation_cdo_75_minute_screencast
作者：not_a_CTA 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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