University of Cambridge > Talks.cam > Finance Seminars, CJBS > Dynamic asset backed security design

Dynamic asset backed security design

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Emily Brown.

Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long lived collateral asset. They are privately informed about the payoff distribution. Asset price can be self fulfilling: higher asset price lowers adverse selection, allows borrowers to raise more funding which makes the asset more valuable, leading to multiple equilibria. Optimal security design eliminates multiple equilibria, improves welfare, and can be implemented as a repo contract. Persistence in adverse selection lowers debt funding, generates volatility in asset price, and exacerbates credit crunch. The theory demonstrates the role of asset backed securities on the stability of market based financial systems.

This talk is part of the Finance Seminars, CJBS series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2022 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity