Explaining Complexity in Actual Securitization Structures: An Epistemic Pitfall in Corporate Finance

L. Gauthier
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Abstract

Securitization has been a subject of interest in the security design literature, and various models have been developed to explain the existence of senior securities and junior securities. However, securitization structures are far more complex than a simple tranching by seniority, and they manipulate interest as well as principal. The authors first address the fundamental reasons why some investors require par-priced securities, before modeling the contractibility of both interest and principal, as well as the par-pricing constraint. The authors can derive optimal designs closely resembling actual securitization structures. The authors also analyze the interactions between collateral characteristics and pricing at equilibrium, and show how much more attractive an excess-spread structure is relative to a more standard structure as expected collateral losses increase, explaining the widespread use of these mechanisms on low-quality collateral. The authors ascribe the fact that financial economics have not sought to explain the peculiar nature of structural complexity to an epistemological framework that privileged consistency with corporate debt analysis.
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解释实际证券化结构的复杂性:企业融资中的一个认识陷阱
证券化一直是安全设计文献中感兴趣的主题,并且已经开发了各种模型来解释高级证券和初级证券的存在。然而,证券化结构远比简单的按优先级分级复杂得多,它们操纵利息和本金。在建模利息和本金的可收缩性以及平价定价约束之前,作者首先解决了一些投资者需要平价证券的基本原因。作者可以推导出与实际证券化结构非常相似的最优设计。作者还分析了抵押品特征与均衡定价之间的相互作用,并显示了当预期抵押品损失增加时,超额息差结构相对于更标准的结构更具吸引力,从而解释了这些机制在低质量抵押品上的广泛应用。作者将金融经济学没有试图解释结构复杂性的特殊性质这一事实归因于一种认识论框架,这种认识论框架与公司债务分析具有一致性。
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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