TY - JOUR T1 - In the Search for Better Yields, a CDO of CDOs Emerges JF - The Journal of Structured Finance SP - 28 LP - 31 DO - 10.3905/jsf.2005.470595 VL - 10 IS - 4 AU - Alexander Batchvarov AU - William Davies AU - Altynay Davletova Y1 - 2005/01/31 UR - https://pm-research.com/content/10/4/28.abstract N2 - 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. ER -