This paper empirically investigates the tranching of European securitizations of corporate loans and bonds. Loans or bonds are pooled together in a portfolio which then is sliced into a First Loss Position and rated bond tranches. The originator tranches so as to minimize the sum of the credit...

The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these...

The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. We analyse a set of European...