Explaining launch spreads on structured bonds

We investigate determinants of launch spreads in European securitization transactions over the last decade. First, we develop a simple, reduced-form pricing model for all issues across different transaction types and test it. We document the critical importance of credit ratings without refinements...

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Detalles Bibliográficos
Autor principal: Firla-Cuchra, M
Formato: Working paper
Publicado: University of Oxford 2005