English, Article, Journal or magazine article edition: Security Design in the Real World: Why are Securitization Issues Tranched? Maciej Firla-Cuchra; Tim Jenkinson

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/21099
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Security Design in the Real World: Why are Securitization Issues Tranched?
Author
  • Maciej Firla-Cuchra
  • Tim Jenkinson
Physical Description
  • preprint
Notes
  • Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such theories using a proprietary database of over 5000 separate tranches in European securitisations raising a total of $1 trillion. We find support for asymmetric information and market segmentation explanations for tranching and present evidence on how such different rationales influence the structuring process in practice. We also investigate the impact of tranching on the price of securities issued. For those issues where our model predicts a higher optimal number of tranches, we find that additional uniquely-rated tranches are associated with higher prices for the issue as a whole.
  • Securitisations, Structured Finance, Bond Markets, Asymmetric Information, Liquidity, Segmentation
  • RePEc:oxf:wpaper:225
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment