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...

Полное описание

Библиографические подробности
Главный автор: Firla-Cuchra, M
Формат: Working paper
Опубликовано: University of Oxford 2005