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Listinjenje dolžniških vrednostnih papirjev : delo diplomskega seminarja
Nabergoj, Veronika (Author), Bernik, Janez (Mentor) More about this mentor... This link opens in a new window

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Abstract
V delu diplomskega seminarja je opisano listinjenje dolžniških vrednostnih papirjev oziroma na kratko CDO. Ta je po obliki sestave podoben namenski družbi. Lastnosti CDO-ja so razdelane v štiri glavne dele, ki so sredstva, obveznosti, namen in kreditna struktura. Bistvo CDO-ja je, da odkupi dolžniške vrednostne papirje in njihove denarne tokove zapakira v tako imenovane tranše, ki jim nato ocenjevalne agencije dodelijo bonitetno oceno glede na subordiniranost oziroma nadrejenost. Nato se tranše proda naprej investitorjem, ki nato tudi prejemajo denarni tok kupljenega deleža tranše, če ne pride do raznih kreditnih dogodkov, ki za sabo potegnejo več različnih posledic. Te so odvisne od velikosti kreditnih dogodkov. Z numeričnimi simulacijami smo pokazali, kako odvisnost med dolžniškimi vrednostnimi papirji vpliva na hitrost zajedanja v tranše, tudi v tranše z visoko boniteto, v primeru hudih kreditnih dogodkov. V primeru neodvisnih dolžniških vrednostnih papirjev, je tranša z najvišjo oceno posledično večja, pa tudi v primeru resnih kreditnih dogodkov je izguba majhna, večinoma v lastniškem kapitalu.

Language:Slovenian
Keywords:listinjeni vrednostni papirji, namenska družba, subordiniranost, tranša, zamenjava kreditnega tveganja, hipotekarno zavarovani vrednostni papirji, stopnja poplačila, numerična simulacija
Work type:Final seminar paper (mb14)
Tipology:2.11 - Undergraduate Thesis
Organization:FMF - Faculty of Mathematics and Physics
Year:2018
UDC:519.8
COBISS.SI-ID:18472793 Link is opened in a new window
Views:232
Downloads:161
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Secondary language

Language:English
Title:Collateralized debt obligations
Abstract:
In this work, collateralization of various assets in the form of collateralized debt obligations or CDO is described. Usually, a CDO is legally a special purpose vehicle. The properties of a CDO can be divided into four parts, which are assets, obligations, purpose and credit structure. CDO buys assets and then the cash flow from that assets is repackaged to the so-called tranches. After they have been graded with credit rating according to subordination of the debt by the Rating agencies, they are sold to investors. They receive the cash flow from their tranche if no default to that tranche happens. If defaults do happen, they carry with them certain consequences. The range of the consequence is determined with the severity of the default. Numerical simulations are used to show how the dependence between the assets affects the sizes of the tranches. In the case of independent assets, the tranche with the highest grade is consequently larger then in the case where the assets are dependent.

Keywords:collateralized debt obligations, special purpose vehicle, relative seniority, tranche, credit default swap, recovery rate, mortgage-backed securities, numerical simulation

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