Collateralized Borrowing and Default Risk

DOI10.1007/978-3-319-45875-5_8MaRDI QIDQ4976498zbMATH OpenOpenAlexFDO

Authors Eva Lütkebohmert, Yajun Xiao

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_8

zbMATH Keywords

collateralized borrowingfunding liquiditymargin requirementsstructural credit risk models

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Collateralized borrowing and increasing risk
• Risk analysis of collateralized debt obligations
• Default risk in bond and credit derivatives markets.
• Credit markets with moral hazard and heterogeneous valuations of collateral
• Counterparty risk and the impact of collateralization in CDS contracts
• Debt collateralization, capital structure, and maximal leverage
• Credit default swaps and risk-shifting
• Provisioning against borrowers default risk
• The impact of systemic and illiquidity risk on financing with risky collateral
• Optimizing credit risk mitigation effects of collaterals under Basel II

Cites work

• A reflection principle for correlated defaults
• A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
• First-passage times of two-dimensional Brownian motion
• On the first passage problem for correlated Brownian motion

Cited in

(8)

• Credit markets with moral hazard and heterogeneous valuations of collateral
• The impact of systemic and illiquidity risk on financing with risky collateral
• On the term structure of lending interest rates when a fraction of collateral is recovered upon default
• Collateral once again
• Rollover risk and credit risk under time-varying margin
• Collateralized borrowing and increasing risk
• A Theory of Collateral for the Lender of Last Resort*
• Data versus Collateral

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