243 sample, to assess if significant differences exist between the security design cmheatrhaocdte. rWisetiucsseof tranches with the VES, OBS, FLE methods compared to the FLT No. of Tranches, Tranche Size, Transactions Size and Subordination level as our security-design characteristics. Tranche Value and Transaction Value ac hr ea rtahcet etrri as tni cc hs ea raeni md pt roarnt as na ct ttioo cna pv taul ur ee t ahte iusns ud ae nr lcyei n, gmrei saks su roef dt h iens eecuur roist .i zTa ht ieosne. As larger deals, with more underlying tranches and higher amount of underlying l(osaene,se, m.g.a, Fkeuritfimneo,r2e0c1h4a)ll.eFningainllgy,awnde idnicffliucduelt to capture potential risks and returns Subordination Level, representing the pmeeracseunrteofispnroottercetiaodnilfyroamvaliolasbseles ifnor each tranche in the capital structure. As this Bloomberg, we manually calculate the ratio ov af laul el torfa tnhceh ed se as lu. bTohri ds imn aetaesdu rt oe itnhde i ct raat en sc ht he ei np rqeuceesnt ti oonf cdui vs ihdi eo dn i bn yg ti nh et ht oe tcaal pf ai tcael sc toruul cdt us ur ef f eorf ( as esee, ceu. gr. i, tVi zi na tki oent adl .e, a2l0, 2a1g )a. i nTsht e csrpe edci ti f il coastsi eosn tohf aotu ar ssepceocni fdi cmt or adne cl hi se: where x̄ is the observed mean of the sample, s the standard deviation of the sample, and n the size of the sample. Chapter 6 - Risk Retention in the European Securitization Market
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