Tranching and Rating
Tranching and Rating
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DOI：
10.1111/j.1468-036x.2009.00515.x
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发表时间：
2008-07
期刊：
影响因子：
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通讯作者：
M. Brennan;Julia Hein;S. Poon
中科院分区：
文献类型：
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作者：
M. Brennan;Julia Hein;S. Poon
在本文中，我们分析了销售结构性债务证券的收益率，只反映他们的信用评级，或具体地说，在同等评级的公司债券的收益率的营销收益的来源和幅度。我们区分基于违约概率的信用评级和基于预期违约损失的评级。我们发现，细分债券发行对给定的抵押品到次级份额可以产生显着的利润在假设的定价系统。增加系统风险或降低债券抵押品的总风险会进一步增加利润。营销收益通常是增加份额的数量，降低最低评级份额的评级。
In this paper we analyse the source and magnitude of marketing gains from selling structured debt securities at yields that reflect only their credit ratings, or specifically at yields on equivalently rated corporate bonds. We distinguish between credit ratings that are based on probabilities of default and ratings that are based on expected default losses. We show that subdividing a bond issued against given collateral into subordinated tranches can yield significant profits under the hypothesised pricing system. Increasing the systematic risk or reducing the total risk of the bond collateral increases the profits further. The marketing gain is generally increasing in the number of tranches and decreasing in the rating of the lowest rated tranche.