Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)
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چکیده
منابع مشابه
What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)
Subordination is designed to provide credit risk protection for senior CMBS tranches by allocating the initial credit losses to the more junior tranches. Subordination level should in theory reflect the underlying credit risk of the CMBS pool. In this paper, we test the hypothesis that subordination is purely about credit risk as intended. We find a very weak relation between subordination leve...
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تاریخ انتشار 2013