, we find that investors require a significantly higher risk premium when there is a high degree of asymmetric information … discriminate between information sensitive and information insensitive tranches, beyond that they rely on their own risk analysis …

The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 …

The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007 …

systematic risk, its management via derivative contracts and structured securities (CDO and CDS), its global contagion across …

misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample … associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in …

for insurance companies. We show that risk-sensitive capital requirements and mark-to-market accounting can jointly create … risk can make it too expensive to hold such securities. Further, we find that, in general, RMBS prices behaved as would be …