The Risk of Tranches Created from Mortgages
Posted: 15 Oct 2010
Date Written: October 13, 2010
Using the criteria of the rating agencies, the authors tested how wide the AAA tranches created from residential mortgages can be. They found that the AAA ratings assigned to ABSs were not totally unreasonable but that the AAA ratings assigned to tranches of Mezz ABS CDOs cannot be justified.
Keywords: Fixed Income, Structured Products, Asset-Backed Securities (ABS), Collateralized Debt Obligations (CDOs)
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