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Asset Pricing and Investor Risk in Subordinated Asset Securitisation
2005
Social Science Research Network
As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-based asset pricing model for the valuation of constituent tranches within a CLO-style security design. The model specifically examines how tranche subordination translates securitised credit risk into investment risk of issued tranches as
doi:10.2139/ssrn.703861
fatcat:ooqem6pbqjc7nbvqx3lqixjngq