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dc.contributor.authorPeña Cerezo, Miguel Ángel ORCID
dc.contributor.authorRodríguez Castellanos, Arturo ORCID
dc.contributor.authorIbáñez Hernández, Francisco Jaime ORCID
dc.date.accessioned2024-01-29T15:01:27Z
dc.date.available2024-01-29T15:01:27Z
dc.date.issued2018-08-06
dc.identifier.citationThe European Journal of Finance 25(2) : 167-189 (2019)es_ES
dc.identifier.issn1351-847X
dc.identifier.issn1466-4364
dc.identifier.urihttp://hdl.handle.net/10810/64423
dc.description.abstractThis paper explains multi-tranche structuring and the yield that securitisation bonds offer by incorporating several factors into a comprehensive model. Results indicate that the degree of complexity of multi-tranche securitisation structures is related to market completeness and solving information asymmetry problems. We also find that the complexity of multi-tranche structure enables the yield offered by triple-A bonds to be reduced but not the average yield, concluding that tranching is a zero-sum game. This research uses a database comprising of all the MBS and ABS issues (1993–2011) in Spain, one of the world’s main securitisation markets. Analysing this long period has allowed us, for the first time, to contrast the Great Financial Crisis (GFC) disruptive effect on the analysed relationships in the securitisation market.es_ES
dc.description.sponsorshipUniversity of the Basque Country (UPV/EHU): [Grant Number NUPV12/01]; FESIDE Fundation: [Grant Number Securitization13/01/25].es_ES
dc.language.isoenges_ES
dc.publisherTaylor & Francises_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.titleMulti-tranche securitisation structures: more than just a zero-sum game?es_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.rights.holder(c) 2018 Taylor & Francises_ES
dc.relation.publisherversionhttps://www.tandfonline.com/doi/full/10.1080/1351847X.2018.1505648es_ES
dc.identifier.doi10.1080/1351847X.2018.1505648
dc.departamentoesEconomía financiera IIes_ES
dc.departamentoeuFinantza ekonomia IIes_ES


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