2005
DOI: 10.2139/ssrn.686861
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Why are Securitization Issues Tranched?

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Cited by 8 publications
(12 citation statements)
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“…Lemmas 3 and 4 are consistent with the findings of Cuchra and Jenkinson (2005) that the number of tranches in European securitisations has displayed a secular tendency to increase, and that securitisations characterised by greater information asymmetry tend to have more tranches with different ratings.…”
Section: Lemma 4 Expected Default Loss Rating Systemsupporting
confidence: 86%
See 3 more Smart Citations
“…Lemmas 3 and 4 are consistent with the findings of Cuchra and Jenkinson (2005) that the number of tranches in European securitisations has displayed a secular tendency to increase, and that securitisations characterised by greater information asymmetry tend to have more tranches with different ratings.…”
Section: Lemma 4 Expected Default Loss Rating Systemsupporting
confidence: 86%
“…Denote the face value of the senior tranche by B 1,k 1 and its rating by k 1 , and denote the face value of the junior tranche by B 2,k 2 ≡ B k − B 1,k 1 and its rating by k 2 . 31 30 Cuchra and Jenkinson (2005) report that in 2003 the average number of tranches in European securitizations was 3.93 and in US securitisations 5.58. 31 Note that in our notation, B j,k j , j denotes the seniority of the tranche issued and k j denotes its rating.…”
Section: Issuing Multiple Tranchesmentioning
confidence: 99%
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“…At this point it must be clarified that multiple tranching is not free of charge: it leads to increased design, structuring, rating, placement and monitoring costs for the resulting tranches on primary markets (Schaber 2008;Schwarcz 1994), and the potential degree of liquidity of issues on secondary markets becomes more limited as the number of tranches increases and, therefore, the volume of each one decreases (Firla-Cuchra and Jenkinson 2005).…”
Section: Introductionmentioning
confidence: 99%