Securitization bubbles: Structured finance with disagreement about default risk

• 成果类型: Article
• 署名作者: Broer, Tobias
• 署名单位: Stockholm University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.12.001
• 发表日期: 2018
• 页码: 505-518
• 关键词: Structured finance; CDO; RMBS; DISAGREEMENT; Default correlation; Credit risk; great recession; Housing bubble

摘要

An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists' demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching. (C) 2018 Elsevier B.V. All rights reserved.