, and economywide default events explains virtually all of the time-series and crosssectional variation in CDX index tranche … 1.2, 41.5, and 763 years, respectively. On average, 65 percent of the CDX spread is due to firm-specific default risk …, 27 percent to clustered industry or sector default risk, and 8 percent to catastrophic or systemic default risk. Recently …

For nearly a decade prior to the collapse of structured finance markets in late 2007, securitization by collateralized … whether securitization was associated with risky lending in the corporate loan market by examining the performance of … underperform the rest of the loan portfolio. Overall, we argue that the securitization of corporate loans is fundamentally …

unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of … number of occasionally binding constraints. The interactions between these constraints - in particular leverage and liquidity …. If the liquidity constraint is very tight, the leverage constraint may turn slack. In this case, there are large declines …

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral … demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …

This paper studies a competitive general equilibrium model with default and endogenous collateralized contracts. The … possibility of trade in spot markets creates externalities, as spot prices and the bindingness of collateral constraints interact … prices used to unwind collateral, over and above contracting on true underlying states of the world, then standard existence …

into a system with significant amounts of wholesale short-term debt that relies on collateral, and in particular Treasuries …, which have a convenience yield. In the new economy the quality of collateral matters: when Treasuries are scarce, the … Treasuries is high, a financial crisis is more likely. The central bank's open market operations affect the quality of collateral …

We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …, our model generates rich links between liquidity risk and default risk. The introduction of macroeconomic risks helps the … model capture realistic time variation in default risk premia and the default-liquidity spiral over the business cycle …

This paper investigates whether the securitization of corporate bank loans had an impact on the price of corporate debt … spread than that of loans that are not subsequently securitized. To identify the particular role of securitization in loan … likelihood of securitization. We document that Term Loan B facilities, facilities originated by banks that originate CLOs, and …

event of default, the creditors can seize the collateral. We assume that there is a small cost of liquidating the assets …. The debt capacity of the assets (the maximum amount that can be borrowed using the assets as collateral) depends on the …