| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14313 |
| DP14313 Demand for safety, risky loans: A model of securitization | |
| Anatoli Segura; Alonso Villacorta | |
| 发表日期 | 2020-01-15 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We build a competitive equilibrium model of securitization in presence of demand for safety by debt investors. Securitization vehicles create safe assets by pooling idiosyncratic risks from loan originators. Equity is endogenously allocated to provide skin-in-the-game in originators and loss-absorption against aggregate risk in vehicles. Credit expansions driven by increases in safety demand lead to securitization booms and riskier loans. They also induce reallocations of equity towards junior tranches of securitized assets that may increase loan risk and reduce output relative to standard credit supply expansions. We find novel predictions on loan and equity risk premia consistent with empirical evidence. |
| 主题 | Financial Economics |
| 关键词 | Securitization Originate-to-distribute Safety demand Diversification Moral hazard |
| URL | https://cepr.org/publications/dp14313-0 |
| 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/543206 |
| 推荐引用方式 GB/T 7714 | Anatoli Segura,Alonso Villacorta. DP14313 Demand for safety, risky loans: A model of securitization. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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