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

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Texto para discussão ; No. 490

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Steinert, Mariano ; Torres-Martínez, Juan Pablo
• Ereignis: Veröffentlichung
• (wer): Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
• (wo): Rio de Janeiro
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/175976
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ