GENERAL EQUILIBRIUM EXISTENCE WITH ASSET-BACKED SECURITIZATION / EQUILÍBRIO GERAL E SECURITIZAÇÃO DE ATIVOS
AUTOR(ES)
MARIANO STEINERT
DATA DE PUBLICAÇÃO
2004
RESUMO
We propose a specification of a general equilibrium model with securitization of collateral-backed promises and discuss the role of physical collateral to avoid, in equilibrium, pessimistic beliefs about the future rates of default. Promises are pooled in either pass-through securities or collateralized loans obligations (CLO), allowing the existence of different seniority levels among tranches in the same CLO. In case of default, borrowers may also suffer extra-economic penalties, which are internalized into a structure of nonordered preferences. In this context, we prove the existence of an equilibrium in that investors are not over-pessimistic about the payments of derivatives.
ASSUNTO(S)
asset backed-securitization non-ordered preferences securitizacao de ativos colateral collateral preferencias nao-ordenadas extra-economic default penalties penalidades extra-economicas
ACESSO AO ARTIGO
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