tailieunhanh - an introduction to credit risk modeling phần 10

Nhắc lại cuộc thảo luận của chúng tôi trên CDO dòng chảy tiền mặt, chúng ta thấy rằng việc tranching ghi chú thực sự là một tranching của sự phân bố mất mát của hồ bơi tài sản thế chấp, tất cả các hiệu ứng đa dạng hóa có thể vào tài khoản | really is a weighted sum of single asset risks ignoring the potential for diversification effects typically inherent in a portfolio. In contrast on the CDO side it is the portfolio risk which endangers the performance of the structure. Recalling our discussion on cash flow CDOs we see that the tranching of notes really is a tranching of the loss distribution of the collateral pool taking all possible diversification effects into account. But diversification decreases the risk of a portfolio so that the price of the portfolio risk must be lower than the price obtained by just summing up exposure-weighted single risks. This is reflected by the spreads on notes as given in Table The spreads paid to notes investors are much lower than the spreads earned on the bonds in the collateral pool. Due to the risk tranching of notes the spreads on senior notes is even lower due to the credit enhancement by subordination provided from notes with lower seniority. It is exactly the mismatch between the single asset based WAC of the portfolio and the much lower weighted average coupon on the notes of the CDO which creates an arbitrage spread. This mismatch is in one part due to diversification effects and in another part based on structural elements like subordination or other credit enhancement mechanisms. Calling special attention to the diversification point one can say that CDOs are correlation products . An example regarding arbitrage spread is given in the next section in the context of CDO investments. Conceptually any originator of an arbitrage cash flow CDO keeping the CDO s first loss piece automatically takes on the role of the equity investor earning the excess spread of the structure in its own pockets. Therefore we can postpone the arbitrage spread example to the next section. The Investor s Point of View Very often banks are on the investment side of a CDO. In many cases ABS bonds offer interesting and attractive investment opportunities but require due to