This paper investigates neglected risk in structured products. We compare retail prices of structured products with prices available to institutional investors to replicate the same products. Issuers do not compensate retail investors for counterparty exposure before the Lehman default even when replication prices reflect this risk. After Lehman, retail investors no longer neglect issuer credit risk, and issuers compensate counterparty exposure. Retail investor attention crucially determines the occurrence of neglected risk. Additionally, issuers have a propensity to construct products with larger counterparty exposure. Overall, our results shed light on the conditions under which financial engineering generates neglected risk.

中文翻译：

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金融创新中被忽视的风险：来自结构性产品交易对手风险敞口的证据

本文研究了结构性产品中被忽视的风险。我们将结构性产品的零售价格与可供机构投资者复制相同产品的价格进行比较。即使复制价格反映了这种风险，发行人也不会在雷曼兄弟违约之前就交易对手风险向散户投资者提供补偿。雷曼之后，散户投资者不再忽视发行人信用风险，发行人补偿交易对手风险。散户投资者的关注度决定了被忽视风险的发生。此外，发行人倾向于构建具有更大交易对手风险的产品。总体而言，我们的结果阐明了金融工程产生被忽视风险的条件。