| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28029 |
| 来源ID | Working Paper 28029 |
| The Market Risk Premium for Unsecured Consumer Credit Risk | |
| Matthias Fleckenstein; Francis A. Longstaff | |
| 发表日期 | 2020-11-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. The consumer credit risk premium has historically been comparable to high yield corporate bond spreads, but has increased dramatically since the financial crisis. We find evidence that this increase is primarily due to balance-sheet costs imposed by recent changes in regulatory capital requirements which have effectively placed credit card securitizations back onto issuer balance sheets. These changes in capital regulation may have added hundreds of basis points to the cost of unsecured household credit. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w28029 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585702 |
| 推荐引用方式 GB/T 7714 | Matthias Fleckenstein,Francis A. Longstaff. The Market Risk Premium for Unsecured Consumer Credit Risk. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28029.pdf（629KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
