全球智库信息集成服务系统(G2TT): Crashes and Collateralized Lending

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17422
来源ID	Working Paper 17422
	Crashes and Collateralized Lending
	Jakub W. Jurek; Erik Stafford
发表日期	2011-09-15
出版年	2011
语种	英语
摘要	This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic crash risk exposure of the collateral. We then apply Modigliani and Miller's (1958) Proposition Two (MM) to split the cost of bearing this risk between the borrower and lender, resulting in a schedule of haircuts and financing rates. The model produces comparative statics and time-series dynamics that are consistent with the empirical features of repo market data, including the dramatic change in financing terms for structured products during the credit crisis of 2007-2008.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions
URL	https://www.nber.org/papers/w17422
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/575096
推荐引用方式 GB/T 7714	Jakub W. Jurek,Erik Stafford. Crashes and Collateralized Lending. 2011.