Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure
研究了结构化产品价格中交易对手风险暴露的补偿问题，发现雷曼违约前发行人未补偿零售投资者，违约后风险被纳入定价，且投资者关注度影响补偿程度。
Abstract We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers did not compensate retail investors for counterparty exposure before the Lehman default. Post‐Lehman, retail prices have no longer neglected this risk. We also measure retail investor attention towards issuer credit risk. For a given level of issuer credit risk, counterparty exposure is compensated more when attention is higher. Furthermore, issuers tend to construct products with larger counterparty exposure. Overall, our results shed light on the conditions under which financial engineering generates neglected risk.