业务
发行人
信用风险
信用卡
信用记录
金融体系
分期付款信用证
信贷紧缩
资产负债表
资信证明
货币经济学
基点
财务
信用卡利息
经济
债券
付款
作者
Matthias Fleckenstein,Francis A. Longstaff
摘要
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.
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