CSOs Driven By Mainly By Portfolio Selection

09 Feb 2010

Performance of collateralized synthetic obligations is driven more by portfolio selection than tranche thickness or subordination, according to JPMorgan Chase.

Performance of collateralized synthetic obligations is driven more by portfolio selection than tranche thickness or subordination, according to JPMorgan Chase. In a study on synthetic structured credit performance, researchers found that regarding junior and senior mezzanine tranches, thickness appeared to be a factor in losses, though thickness did ...

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