stability beyond that achieved through loss-bearing of the bail-in tranche. …

a first loss piece a very high proportion of the default losses, and transfers only the extreme losses to other market … participants. The size of the first loss piece is largely driven by the average default probability of the securitized assets. If …

/08 ; Bank Regulation ; First Loss Position ; Rating Process ; Securitization ; Transparency …

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 …

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 …