Fostel, Ana; Geanakoplos, John - 2011
-2009. We study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with …, 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 …