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Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Bolton, Patrick - 2011
government debt. The safest governments inefficiently restrict the amount of high quality debt that could be used as collateral …
Persistent link: https://www.econbiz.de/10013127984
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Counterparty Risk Externality : Centralized Versus Over-the-Counter Markets
Acharya, Viral V. - 2011
collateral requirements and subordination of OTC positions in bankruptcy can ameliorate the counterparty risk externality, they …
Persistent link: https://www.econbiz.de/10013125914
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The Alchemy of Cdo Credit Ratings
Benmelech, Efraim - 2010
Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried...
Persistent link: https://www.econbiz.de/10012757547
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A Market Based Solution to Price Externalities : A Generalized Framework
Kilenthong, Weerachart T. - 2014
Pecuniary externalities have regained the interest of researchers as they seek policy interventions and regulations to remedy externality-induced distortions, e.g., balance sheet effects, amplifiers and fire sales. In this paper we go back to first principles and show how to design financial...
Persistent link: https://www.econbiz.de/10013051308
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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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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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Two Monetary Tools : Interest Rates and Haircuts
Ashcraft, Adam B. - 2010
We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the...
Persistent link: https://www.econbiz.de/10013138470
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Repo and Securities Lending
Adrian, Tobias - 2012
: principal amount, interest rate, collateral type, haircut, tenor, and counterparty …
Persistent link: https://www.econbiz.de/10013097773
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Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
Gyourko, Joseph - 2013
Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment status in the...
Persistent link: https://www.econbiz.de/10013085488