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The cost of collateralized borrowing in the Colombian money market : does connectedness matter?
Martínez, Constanza; León, Carlos - In: Journal of financial stability 25 (2016), pp. 193-205
Persistent link: https://www.econbiz.de/10011704901
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Collateral Damage of Reckless Lending
Savvides, Savvakis C. - 2020
It is argued that lending where the overwhelming criterion is the collateral rather than the repayment capability of …
Persistent link: https://www.econbiz.de/10012841180
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To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization
Degryse, Hans - 2019
particular for collateral that saves more on regulatory capital …
Persistent link: https://www.econbiz.de/10012897240
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The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Xiao, Tim - 2019
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...
Persistent link: https://www.econbiz.de/10012864846
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Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Xiao, Tim - 2019
This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk of the buyer, seller and reference entity. We show that default...
Persistent link: https://www.econbiz.de/10012867724
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Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO) : Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis
Markose, Sheri M. - 2016
A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports which yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous...
Persistent link: https://www.econbiz.de/10013007658
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Collateral, Risk, and Borrowing Capacity
Markou, Panos - 2020
We examine the effect of risk-shifting incentives on the relation between collateral and corporate borrowing capacity …. The increase in gold prices during the 2008-2009 financial crisis provided a positive shock to the collateral value of …
Persistent link: https://www.econbiz.de/10012854521
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The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim - 2015
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
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The Valuation of Collateral in Bank Lending
Luck, Stephan - 2020
Researchers' attempts to identify the valuation of collateral has been hampered by data limitations. We overcome this … different types of collateral. We find that securing a loan reduces borrowing costs for firms by 17 basis points. The price … effect varies across different types of collateral, with marketable securities and real estate being the most valuable types …
Persistent link: https://www.econbiz.de/10012847397
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Syndicated Loan Risk : The Effects of Covenants and Collateral
Ding, Jianglin Dennis; Pennacchi, George - 2021
collateral and various covenants on syndicated loan risk. It addresses firms’ self-selection of these contract terms by analyzing … how a loan’s collateral and covenants affect: 1) the difference between the loan’s credit rating and the senior, unsecured … loan’s credit spread. The results show that the rating agency and investors agree that a collateral requirement, a capital …
Persistent link: https://www.econbiz.de/10013231165