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- W2779311036 abstract "An additional reason for the structured finance boom of the 2000s may have been disagreement about default risk of collateral assets. When risk-neutral investors disagree about average default probabilities, structuring collateral cash flow raises prices by concentrating optimists’ demand on risky tranches. With disagreement about default correlation, low-correlation investors believe in diversification and pay high prices for senior tranches they deem riskless. High-correlation investors value junior tranches they expect to pay whenever aggregate conditions are good. Risk aversion and short selling through credit default swaps reduce the prices of both pass-through and structured securitizations but may increase the return to tranching." @default.
- W2779311036 created "2018-01-05" @default.
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- W2779311036 date "2018-03-01" @default.
- W2779311036 modified "2023-09-27" @default.
- W2779311036 title "Securitization bubbles: Structured finance with disagreement about default risk" @default.
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- W2779311036 doi "https://doi.org/10.1016/j.jfineco.2017.12.001" @default.
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