with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …

asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche …

with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …

asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche …

transparency relating to effective risk transfer, risk-related management compensation, and credible measurement of rating …