Securitisations: tranching concentrates uncertainty

Adonis Antoniades and Nikola Tarashev ()

BIS Quarterly Review, 2014

Abstract: 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.

JEL-codes: G24 G32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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