Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
研究了金融创新的时机如何导致2007-2009年抵押贷款泡沫与崩盘，解释了分层和杠杆先推高资产价格、信用违约互换后压低资产价格的原因。
We show how the timing of financial innovation might have contributed to the mortgage bubble and then to the crash of 2007–2009. We show why tranching and leverage first raised asset prices and why CDS lowered them afterward. This may seem puzzling, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will raise the underlying asset price, while the CDS outside the securitization lowers it. The resolution of the puzzle is that the CDS lowers the value of the underlying asset since it is equivalent to tranching cash..