Securitisations: tranching concentrates uncertainty

Even when securitised assets are simple, transparent and of high quality, risk assessments will be uncertain. This will call for safeguards against potential undercapitalisation. Since the uncertainty concentrates mainly in securitisation tranches of intermediate seniority, the safeguards applied to these tranches should be substantial, proportionately much larger than those for the underlying pool of assets.

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Year of publication:	2014
Authors:	Antoniades, Adonis ; Tarashev, Nikola
Published in:	BIS Quarterly Review. - Bank for International Settlements (BIS). - 2014, December
Publisher:	Bank for International Settlements (BIS)

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G24 - Investment Banking; Venture Capital; Brokerage ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011097084