pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third … Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool …

the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt … role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic … transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses …

the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt … role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic … transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses …