BIS quarterly review warns even high quality securitisations carry risks
Mezzanine tranches bear particularly high levels of uncertainty
Mezzanine tranches even in simple, transparent and high-quality securitisations are vulnerable to miscalculations of risk, with investors likely to be caught out by "cliff effects", an article published in the Bank for International Settlements' (BIS) quarterly review has warned.
Published yesterday, Securitisations: tranching concentrates uncertainty, by Adonis Antoniades and Nikola Tarashev, suggests junior and senior tranches are relatively straightforward: in the event of a shock junior
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