Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25
the cost of increasing systemic risk. Later, a follow-up study showed that a particular strategy of securitization with … tranches can help avoid this trade-off. We extend the theoretical work on securitization by considering all possible strategies … for securitization with two tranches, by finding their corresponding optimal diversification solutions, and by discussing …