Franke, Günter; Herrmann, Markus; Weber, Thomas - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2011
pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third … Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool … obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset …