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2011年11月15日经济学Seminar
发布时间：2011-11-07
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主题：Risk Retention Regulation of Bank Asset Securitization
主讲人：郭桂霞
[主讲人简介] 经济学博士，毕业于北京大学国家发展研究院，现为对外经济贸易大学国际经济研究院教师，在Economic Modelling，Australian Economic Papers，《经济学季刊》等杂志发表论文多篇，主要研究方向为金融理论、产业组织理论、国际经济学。
[内容提要]
To evaluate the welfare effect of the recently proposed financial regulatory measures of bank asset securitization-risk retention requirement and information disclosure requirement, we build up a two-period model with asymmetric information on asset value between a risk averse originating bank and a continuum of risk averse investors. We find that it is impossible for a flat retention ratio requirement to be optimal for all markets. Although both regulatory proposals are effective in reducing investors' informational loss, neither can unconditionally enhance social welfare upon the unregulated case, due to the associated regulatory cost: risk retention requirement aggravates adverse selection problem because it undermines the effective informational content reflected by the signal, and information disclosure requirement leads to a distortion in securitization intensity to send positive signals. Although increasing bank transparency does not necessarily improve social welfare, information disclosure regulation complements retention ratio regulation when investors are relatively risk averse.
主持人：罗楚亮
时间：11月15日下午2点半至4点
地点：北师大后主楼1610