On the Design of Sovereign Bond-backed Securities

We analyze Sovereign Bond-Backed Securities, concentrating our attention on the return of the different tranches and on their risk. We show that as the correlation level among defaults increases, the yield rate of senior tranches increases while the yield rate of junior tranches decreases.

Date: January 14, 2020 - 12.00 – 13.30

Authors and Istitutions: Emilio Barucci (Politecnico di Milano)