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| Tekijä: | Brennan, M.J. Hein, J. Poon, S-H. |
| Otsikko: | Tranching and rating |
| Lehti: | European Financial Management
2009 : NOV, VOL. 15:5, p. 891-922 |
| Asiasana: | financial market trading investment banks securities credit rating probability models |
| Kieli: | eng |
| Tiivistelmä: | This paper analyzes the source and magnitude of marketing gains from selling structured debt securities at yields reflecting only their credit ratings (hereafter as: cr-rts.), specifically at yields on equivalently rated corporate bonds. Cr-rts. based on probabilities of default and cr-rts. based on expected default losses are distinguished. It is shown that subdividing a bond issued against given collateral into subordinated tranches can yield significant profits under the hypothesized pricing system. |
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