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Crashes and Collateralized Lending
Jurek, Jakub W. - 2011
-pricing framework to value the systematic crash risk exposure of the collateral. We then apply Modigliani and Miller's (1958 …
Persistent link: https://www.econbiz.de/10013120294
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Good Booms, Bad Booms
Gorton, Gary B. - 2016
careful examination of collateral. As this examination is more valuable when collateral backs projects with low productivity …
Persistent link: https://www.econbiz.de/10012998412
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10013130981
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An Empirical Study of the Credit Market with Unobserved Consumer Typers
Gan, Li - 2008
This paper proposes an econometric model to identify unobserved consumer types in the credit market. Consumers choose different amounts of loan because of differences in their time or risk preferences (types). Thus, the unconditional probability of default is modeled using a mixture density...
Persistent link: https://www.econbiz.de/10012772371
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Credit Smoothing
Hundtofte, Sean - 2019
Standard economic theory says that unsecured, high-interest, short-term debt — such as borrowing via credit cards and …
Persistent link: https://www.econbiz.de/10012861728
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Riding the Credit Boom
Hansman, Christopher - 2018
Research on leverage and asset-price fluctuations focuses on the direct effect of lax bank lending enabling financially-constrained investors to take excessive risks. Ignored are unconstrained investors speculating on higher prices during credit booms. To identify these two effects, we utilize...
Persistent link: https://www.econbiz.de/10012919324
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Competitive Lending with Partial Knowledge of Loan Repayment
Brock, William A.; Manski, Charles F. - 2021
We study a competitive credit market in which lenders with partial knowledge of loan repayment use one of three decision criteria - maximization of expected utility, maximin, or minimax regret - to make lending decisions. Lenders allocate endowments between loans and a safe asset, while...
Persistent link: https://www.econbiz.de/10013233223
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Repossession and the Democratization of Credit
Assunção, Juliano J. - 2014
We exploit a 2004 credit reform in Brazil that simplified the sale of repossessed cars used as collateral for auto … of a credit reform, highlighting the crucial role that collateral and repossession play in the liberalization and …
Persistent link: https://www.econbiz.de/10013066574
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Collateral Pricing
Benmelech, Efraim - 2008
We examine how collateral affects the cost of debt capital. Theories based on borrower moral hazard and limited … pledgeable income predict that collateral increases the availability of credit and reduces its price. Testing these theories is … complicated by the very selection problem which they imply: creditors will demand collateral precisely from those borrowers who …
Persistent link: https://www.econbiz.de/10012772363
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Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
Gyourko, Joseph - 2013
well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which …
Persistent link: https://www.econbiz.de/10013085488