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Modeling loss given default with stochastic collateral

Frontczak, Robert; Rostek, Stefan - In: Economic modelling 44 (2015), pp. 162-170

Persistent link: https://www.econbiz.de/10011326261

Equilibrium with limited-recourse collateralized loans

Poblete-Cazenave, Rubén; Torres-Martínez, Juan Pablo - In: Economic theory : official journal of the Society for … 53 (2013) 1, pp. 181-211

Persistent link: https://www.econbiz.de/10009745721

Credit risk assessment considering variations in exposure : application to commitment lines

Fujiwara, Shigeaki - In: Monetary and economic studies 27 (2009), pp. 171-194

Persistent link: https://www.econbiz.de/10003910140

Interbank lending, credit-risk premia, and collateral

Heider, Florian; Hoerova, Marie - In: International journal of central banking : IJCB 5 (2009) 4, pp. 5-43

Persistent link: https://www.econbiz.de/10009521389

Bank capital requirements, loan guarantees and firm performance

Mayordomo, Sergio; Moreno, Antonio; Ongena, Steven; … - In: Journal of financial intermediation 45 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012656587

Cross-ownership and collateral in lending

Qian, Xuesong; Ding, Zifang; Cao, Xiaping; Qi, Shusen - In: International review of financial analysis 72 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012437239

Information contents of collateral under heterogeneous borrower qualities on the bank loans market in China

Zhichao Yin; Qiu, Mei; Gan, Li - In: China economic review : an international journal 57 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012317724

To ask or not to ask? : bank capital requirements and loan collateralization

Degryse, Hans; Karapetyan, Artashes; Karmakar, Sudipto - In: Journal of financial economics 142 (2021) 1, pp. 239-260

Persistent link: https://www.econbiz.de/10012650706

Spillover dynamics effects between risk-neutral equity and Treasury volatilities

González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 4, pp. 663-708

Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and...

Persistent link: https://www.econbiz.de/10013459960

Firm age and crude oil returns : stock price sensitivity of oil-producing and consuming companies

Nishi, Hirofumi - In: Cogent economics & finance 8 (2020) 1, pp. 1-21

This study aims to identify firm characteristics that affect the cross-firm variation in oil-stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm...

Persistent link: https://www.econbiz.de/10013179571