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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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Maciej Firla-Cuchra More by this author
Tim Jenkinson More by this author
Volume:
225
Series:
Discussion paper series
Publication date:
2005
URN:
uuid:97b9760f-91d4-43bc-b8e6-2542b53f076d
Local pid:
ora:1264
Language:
English

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