| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16091 |
| DP16091 Equilibrium Securitization with Diverse Beliefs | |
| Andrew Ellis; Michele Piccione; Shengxing Zhang | |
| 发表日期 | 2021-04-30 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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. |
| 主题 | Financial Economics |
| 关键词 | Securitization Heterogeneous beliefs Collateral Tranching Pooling |
| URL | https://cepr.org/publications/dp16091 |
| 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/545069 |
| 推荐引用方式 GB/T 7714 | Andrew Ellis,Michele Piccione,Shengxing Zhang. DP16091 Equilibrium Securitization with Diverse Beliefs. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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