Imperial College London
Alternate

ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Barucci:2021:10.1142/S242478632150033X,
author = {Barucci, E and Brigo, D and Francischello, M and Marazzina, D},
doi = {10.1142/S242478632150033X},
journal = {International Journal of Financial Engineering},
pages = {1--1},
title = {On the design of sovereign bond-backed securities},
url = {http://dx.doi.org/10.1142/S242478632150033X},
volume = {9},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - In this paper, we analyze Sovereign Bond-Backed Securities in the Euro area, concentrating our attention on the return of the different tranches and on their riskiness. We show that as the correlation level among States increases, the yield rate of senior tranches increases while the yield rate of junior tranches decreases. A similar effect is observed when introducing a block dependence structure with high correlation among States belonging to the same block. Introducing a nonzero recovery rate, as opposed to a null recovery rate, decreases the yield rate of senior tranches and increases the yield rate of junior tranches. We compute the loss distribution and the Value at Risk (VaR) associated with the market risk of retaining the different tranches of the bond. We also analyze the possibility of reaching a safe asset through pooling tranches of government bonds of different States. In summary, we show that the issue in reaching a comprehensive and safe offering through the securitization of government bonds is not the safety of senior tranches but the risk of the junior ones.
AU  - Barucci,E
AU  - Brigo,D
AU  - Francischello,M
AU  - Marazzina,D
DO  - 10.1142/S242478632150033X
EP  - 1
PY  - 2021///
SN  - 2424-7863
SP  - 1
TI  - On the design of sovereign bond-backed securities
T2  - International Journal of Financial Engineering
UR  - http://dx.doi.org/10.1142/S242478632150033X
UR  - https://www.worldscientific.com/doi/abs/10.1142/S242478632150033X
UR  - http://hdl.handle.net/10044/1/89879
VL  - 9
ER  -
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