标题：Collateral-Motivated Financial Innovation

汇报人：Prof. Hongjun Yan（Yale School of Management）

功夫：2012年3月21日（周三）10:30-11:30am

地址：拉斯维加斯9888新楼109大教室

提要：We propose a collateral view of financial innovation: Many innovations are motivated by alleviating collateral/margin constraints for trading (speculation or hedging). We analyze a model with investors with heterogeneous beliefs. The trading need motivates investors to introduce derivatives, which are endogenously determined in equilibrium. The“optimal”security is the one that isolates the variable with disagreement. It is optimal in the sense that any alternative derivatives cannot generate any trading. With an arbitrarily small trading cost, the optimal security is “unfunded”, i.e. , has a zero initial value. The endogenous difference in collateral

requirements leads to a basis, i.e., the spread between the prices of an underlying asset and its replicating portfolio. This basis reflects the shadow value of collateral, leading to a number of time-series and cross-sectional implications. More broadly, our analysis highlights the common theme behind a variety of financial innovations: the inventions of securities (e.g., futures, swaps); legal practice (e.g., the superseniority of repos and derivatives); legal entities (e.g., special purpose vehicles); as well as the efforts in improving the margin procedure.

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