In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects …, the probability of default has no impact on the collateral's effectiveness. Moreover, a higher risk of the project caused … by a higher loss given default makes the use of collateral even less effective. -- Debt renegotiation ; Collateral ; Risk …

; Transaction Costs ; Criteria for Decision-Making under Risk and Uncertainty ; Asymmetric and Private Information ; Intertemporal …

An important theoretical literature motivates collateral as a mechanism that mitigates adverse selection, credit … incidence of collateral. We exploit exogenous variation in lender information related to the adoption of an information … technology that reduces ex ante private information, and compare collateral outcomes before and after adoption. Our results are …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

We establish that a monopoly bank never uses collateral as a screening device. A pooling equilibrium always exists in … which all borrowers pay the same interest rate and put zero collateral. Absence of screening leads to socially inefficient …

We examine the role of collateral in a dynamic model of optimal credit contracts in which a borrower values both … the role collateral as a deterrent to manipulation. Some assets, those that generate consumable services will necessarily …

-mentioned key services, especially when programmes are larger and/or are retained by the issuer for use as collateral with the … for networks based on the use of securities as Eurosystem collateral. These findings help demonstrate the importance of … the Eurosystem’s risk management framework for ABSs and CBs, and support the orientation of recent regulatory efforts at …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …