The Subprime Panic*
通过解析与次贷相关的证券、特殊目的载体和衍生品设计，说明信息不对称和风险如何被隐藏，以及ABX指数如何揭示信息，从而解释2007年恐慌的起源。
Abstract Understanding the ongoing credit crisis or panic requires understanding the designs of a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. I describe the relevant securities, derivatives, and vehicles to show: (1) how the chain of interlinked securities was sensitive to house prices; (2) how asymmetric information was created via complexity; (3) how the risk was spread in an opaque way; and (4) how trade in the ABX indices (linked to subprime bonds) allowed information to be aggregated and revealed. These details are at the heart of the origin of the Panic of 2007. The events of the panic are described.