By setting up behavioral models of loan securitization, we provide explanations for phenomenon during the Global Financial Crisis. Information inaccuracy in our models comes from optimism rather than moral hazard. We show that investors are insensitive to information about underlying loans, certain level of optimism is more profitable to banks than having perfect information, and benefit from securitization enhances banks’ optimal optimism level. Moreover, dominance of optimistic banks blurs quality differences in securitization products, leading to common ignorance and higher susceptibility to shocks, which results in investors’ “flight-to-quality” in the securitization market. Our numerical analysis demonstrates influences of bank competition, security tranching and capital requirement. The findings highlight the importance of awareness of over-optimism in creating contagion of financial fragility. 本文从行为金融学的角度构建了银行信贷资产证券化的理论模型，并用于解释金融危机期间的各种现象。模型分析显示，投资者对资产质量相关信息不敏感；银行的乐观情绪在一定程度上有利于增加银行利润，但过于乐观则会导致信息的准确性大幅降低，从而对银行利润造成负面影响；证券化所释放的流动性强化了银行的乐观情绪。此外，乐观情绪模糊了银行间证券化产品的质量差异，导致银行和投资者共同忽视信息的重要性，但更易诱发投资转移现象。通过对理论模型进行数据模拟，我们进一步解释了银行间的竞争有助于提升投资者福利，证券分级导致高级证券比例过高，以及资本金要求的非线性影响等。本文强调了在分析金融创新导致的金融系统脆弱性时，了解微观主体的行为模式与相互影响方式的重要性。