Семинар профессора Patrizio Morganti из Университета Тушии

Abstract: The paper provides a theoretical model that supports the search for yield motive of shadow banking and the traditional risk transfer view of securitization, which is consistent with the factual background that had characterized the U.S. financial system before the recent crisis. The shadow banking system is indeed an important provider of high-yield asset-backed securities via the underlying securitized credit intermediation process. Investors' sentiment on future macroeconomic conditions affects the reservation prices related to the demand for securitized assets: high-willing payer ("optimistic") investors are attracted to these investment opportunities and offer to intermediaries a rent extraction incentive. When the outside wealth is high enough that securitization occurs, asset-backed securities are used by intermediaries to extract the highest feasible surplus from optimistic investors and to offload credit risk. Shadow banking is pro-cyclical and securitization allows risks to be spread among market participants coherently with their risk attitude.

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