Working paper
Security design in the real world: why are securitization issues tranched?
- Abstract:
-
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 explanation...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2005-03-01
- Paper number:
- 225
Item Description
- Keywords:
- Pubs id:
-
1003933
- Local pid:
- pubs:1003933
- Deposit date:
- 2020-12-14
Terms of use
- Copyright date:
- 2005
- Rights statement:
- Copyright 2005 The Author(s)
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