In theory, one of the main benefits of financial globalization is that it should allow for more efficient international … sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained …

In theory, one of the main benefits of financial globalization is that it should allow for more efficient international … certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing …

. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in …