Optimal Security Design for Risk-Averse Investors

• 成果类型: Article
• 署名作者: Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; Zhang, Mengxi
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Surrey; University of Bonn; Yale University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20231597
• 发表日期: 2025
• 页码: 2050-2092
• 关键词: Securitization; MODEL; equilibrium; reinsurance; INFORMATION; decisions; CONTRACTS; liquidity; ORDER

摘要

We use the tools of mechanism design combined with the theory of risk measures to analyze how a cash-constrained owner of an asset with known, stochastic returns raises capital from a population of investors who differ in their risk aversion and budget constraints. The issuer partitions the asset's cash flow into several asset-backed securities, one for each type of investor. The optimal partition conforms to the commonly observed practice of tranching into senior debt, junior debt, and equity. Tranching arises endogenously due to the differences in risk appetites among agents and in the budget constraints they face. (JEL D81, D82, G12, G41, G51)