The Market Risk Premium for Unsecured Consumer Credit Risk
利用信用卡资产支持证券价格，研究无担保消费信贷风险的市场风险溢价，发现2007-2009年金融危机后风险重新定价，监管变化使成本增加超100个基点。
Abstract We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthermore, there has been a major repricing of unsecured consumer credit risk since the 2007–2009 financial crisis. We find evidence that this increase is linked to balance-sheet costs imposed by postcrisis changes in regulations that have placed credit card securitizations back onto issuer balance sheets. These regulatory changes may have added more than 100 basis points to the cost of unsecured household credit.