Equilibrium securitization with diverse beliefs

• 成果类型: Article
• 署名作者: Ellis, Andrew; Piccione, Michele; Zhang, Shengxing
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4157
• 发表日期: 2022-01-01
• 页码: 121-152
• 关键词: Securitization; heterogeneous beliefs; collateral; tranching; pooling; D53; G20

摘要

We study the effects of diverse beliefs on equilibrium securitization under risk neutrality. We provide a simple characterization of the optimal securities. Pooling and tranching of assets emerges in equilibrium as a consequence of the traders' diverse beliefs about asset returns. The issuer of securities tranches the asset pool, and traders sort among the tranches according to their beliefs. We show how the traders' disagreement about the correlation of asset returns is a key factor in determining which assets are pooled.