多元信念的均衡证券化

IF 1.2 3区经济学 Q3 ECONOMICS

Theoretical Economics Pub Date : 2022-01-01 DOI:10.3982/te4157

Andrew Ellis,Michele Piccione,Shengxing Zhang

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引用次数: 0

摘要

研究了风险中性条件下不同信念对均衡证券化的影响。我们提供了最优证券的一个简单表征。由于交易者对资产回报的不同信念，资产的集中和分级在均衡中出现。证券发行者对资产池进行分级，交易者根据自己的信念对这些分级进行排序。我们展示了交易员对资产回报相关性的分歧是决定哪些资产被集中的关键因素。

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Equilibrium securitization with diverse beliefs

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.

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来源期刊

Theoretical Economics ECONOMICS-

CiteScore

2.40

自引率

5.90%

发文量

审稿时长

52 weeks

期刊介绍： Theoretical Economics publishes leading research in economic theory. It is published by the Econometric Society three times a year, in January, May, and September. All content is freely available. It is included in the Social Sciences Citation Index