Hedge funds, systemic risk and the market for mortgage-backed securities
揭示了对冲基金在2000年代初私人住房抵押贷款支持证券市场风险金字塔中的基础性作用，将风险分解为流动性风险和尾部风险，并提出在不消除其风险承担社会效益的前提下防止风险蔓延为系统性危机的解决方案。
Abstract In the early 2000s, the market for private-label residential mortgage-backed securities was built upon a pyramid of risk, and at the foundation of this pyramid were hedge funds. Few post-mortems recognise the critical role played by these institutional investors. This paper uncovers this essential piece of the puzzle and demonstrates that it is a natural outgrowth of the inherent operational freedom that defines hedge funds. It breaks these foundational risks down into two components—illiquidity risk and tail risk—and proposes solutions to prevent them from spilling over into systemic crises without eliminating the benefits that society reaps from this unique risk-taking. It concludes with important lessons for securitisation markets to consider during and after the COVID-19 recession.