발표주제_Neglected Risk and the Market for Bond Insurance
일 시 : 2014년 9월 19(금) 오후 5:00~6:30
장 소 : 자본시장연구원 대회의실(여의도 금융투자협회 19층)
발표자 : 오지열 교수(육군사관학교)
사회자 : 김우진 교수(서울대학교)
토론자 : 김배호 교수(고려대학교)
Abstract
Monoline insurers collapsed dramatically during the subprime crisis. This paper
presents a stylized model to account for the market breakdown. The initial
neglect of severe downside risk by local thinking agents can trigger subsequent
rating downgrades of insurers. However, the model identies a more fundamental
problem. Even when the agents are rational, bond insurance exerts a negative
externality on investors by eliminating a bond’'s price discount. Surprisingly, as
this externality is likely to be less severe when the agents engage in local thinking,
excessive focus on rational risk management can actually harm the market welfare.
Keywords: Local thinking; credit enhancement; financial guaranty; downside risk;
capital coverage
