RT Journal Article SR Electronic T1 CDO2, Correlation, Overlap, and Subordination JF The Journal of Structured Finance FD Institutional Investor Journals SP 59 OP 70 DO 10.3905/jsf.2006.614083 VO 11 IS 4 A1 Benoit Metayer YR 2006 UL https://pm-research.com/content/11/4/59.abstract AB In this article, the author prices and assesses the risk of CDO2 and, more precisely, he highlights the complex relationships among the dependence structure of the underlying assets packaged in the inner CDOs, the level of subordination of the single-tranche CDOs, and the performance of the single-tranche CDO2 (ST CDO2) itself. The article also investigates the crucial role of the correlation parameter and provides several numerical examples to point out the complex impact of this parameter on the risk profile and the valuation of ST CDO2. Investors looking for trade ideas involving long or short positions in correlation should be interested in the results.TOPICS: CLOs, CDOs, and other structured credit, fundamental equity analysis, credit risk management