The Market Risk Premium for Unsecured Consumer Credit Risk

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis A.
• 署名单位: University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac002
• 发表日期: 2022
• 页码: 4756
• 关键词: BACKED SECURITIES; adverse selection; liquidity; bankruptcy; deviations; benefits; BEHAVIOR; spreads; COSTS

摘要

We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthermore, there has been a major repricing of unsecured consumer credit risk since the 2007-2009 financial crisis. We find evidence that this increase is linked to balance-sheet costs imposed by postcrisis changes in regulations that have placed credit card securitizations back onto issuer balance sheets. These regulatory changes may have added more than 100 basis points to the cost of unsecured household credit.