| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11145 |
| DP11145 Securitisation Bubbles: Structured finance with disagreement about default correlations | |
| Tobias Broer | |
| 发表日期 | 2016-03-01 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The early 2000s have seen an enormous boom and bust in structured financial products, such as residential mortgage-backed securities (RMBSs) or collateralised debt obligations (CDOs). The standard 'Gaussian Copula' model used to quantify their credit risk was highly dependent on the choice of a single default correlation parameter that often required subjective judgement, as underlying assets were not standardised or only had a short history. This paper shows how moderate disagreement about default correlation increases the market value of the structured collateral considerably above that of its total cash-flow, as investors self-select into buying tranches they value more highly than others. The implied 'return to tranching' is sizeable for a typical RMBS, and an order of magnitude larger for CDOs backed by RMBS-tranches, whose cash-flow distribution is not bounded by a minimum recovery value and thus more sensitive to heterogeneous default correlations. In contrast, disagreement about average default probabilities, or recovery values, does not imply a large return to tranching. |
| 主题 | Financial Economics |
| 关键词 | Cdo Rmbs Disagreement Default correlation Credit risk Great recession Housing bubble |
| URL | https://cepr.org/publications/dp11145 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539960 |
| 推荐引用方式 GB/T 7714 | Tobias Broer. DP11145 Securitisation Bubbles: Structured finance with disagreement about default correlations. 2016. |
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