Arbeitspapier
General equilibrium existence with asset-backed securitization
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 lev- els among tranches in the same CLO. In case of default, borrowers may also suffer extra-economic penalties, which are internalized into a structure of non-ordered preferences. In this context, we prove the existence of an equilibrium in that investors are not over-pessimistic about the payments of derivatives. JEL Codes: D52, D91
- Language
-
Englisch
- Bibliographic citation
-
Series: Texto para discussão ; No. 490
- Classification
-
Wirtschaft
- Subject
-
Asset Backed-Securitization
Extra-economic Default Penalties
Collateral
Non- ordered Preferences
- Event
-
Geistige Schöpfung
- (who)
-
Steinert, Mariano
Torres-Martínez, Juan Pablo
- Event
-
Veröffentlichung
- (who)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (where)
-
Rio de Janeiro
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Steinert, Mariano
- Torres-Martínez, Juan Pablo
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Time of origin
- 2004