General equilibrium existence with asset-backed securitization

Arbeitspapier

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Texto para discussão ; No. 490

Classification and Topics

• Classification: Wirtschaft
• Subject: Asset Backed-Securitization ; Extra-economic Default Penalties ; Collateral ; Non- ordered Preferences

Contributors, Places and Time

• 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

Further information

• Handle: http://hdl.handle.net/10419/175976
• Last update: 10.03.2025, 11:43 AM CET