PT  - JOURNAL ARTICLE
AU  - Alexander Batchvarov
AU  - William Davies
AU  - Altynay Davletova
TI  - In the Search for Better Yields, a CDO of CDOs Emerges
AID  - 10.3905/jsf.2005.470595
DP  - 2005 Jan 31
TA  - The Journal of Structured Finance
PG  - 28--31
VI  - 10
IP  - 4
4099  - https://pm-research.com/content/10/4/28.short
4100  - https://pm-research.com/content/10/4/28.full
AB  - 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.