We report on the term structure of loss cascades generated through portfolio tranching. The results are based on the analytical form of the loss distribution for uniform loan portfolios and show that the expected loss of the first loss position increases roughly linear whereas the expected losses of the more senior tranches increase exponentially over time depending on the relation between mean default probability and tranching limits.
CITATION STYLE
Overbeck, L., & Wagner, C. (2017). Term Structure of Loss Cascades in Portfolio Securitisation (pp. 207–221). https://doi.org/10.1007/978-3-662-54486-0_11
Mendeley helps you to discover research relevant for your work.