Debt collateralization, capital structure, and maximal leverage

DOI10.1007/S00199-019-01222-7MaRDI QIDQ2205998zbMATH OpenOpenAlexFDO

Authors Feixue Gong, Gregory Phelan

Publication date 21 October 2020

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://web.williams.edu/Economics/wp/GP_ET_Final.pdf

zbMATH Keywords

asset pricesasset-backed securitiescollateralized debt obligationsdefaultincomplete marketsleveragesecuritized markets

Mathematics Subject Classification ID

General equilibrium theory (91B50) Heterogeneous agent models (91B69) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Collateral equilibrium. I: A basic framework
• Collateral amplification under complete markets
• Collateral premia and risk sharing under limited commitment
• Collateralized borrowing and increasing risk
• Equilibrium with limited-recourse collateralized loans

Cites work

• Belief disagreements and collateral constraints
• Collateral equilibrium. I: A basic framework
• Collateral requirements and asset prices
• Collateralized borrowing and increasing risk
• Dynamic competitive economies with complete markets and collateral constraints
• Leverage and default in binomial economies: a complete characterization
• Regulating collateral-requirements when markets are incomplete
• Why does bad news increase volatility and decrease leverage?

Cited in

(12)

• Collateral amplification under complete markets
• Default and determinacy under quantitative easing
• A model of leverage based on risk sharing
• Debt recapitalization and value in waiting to finance a project
• Leverage and default in binomial economies: a complete characterization
• Collateralized Borrowing and Default Risk
• FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION
• Collateralized borrowing and increasing risk
• Collateral requirements and asset prices
• Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt*
• Collateral constraints, tranching, and price bases
• Haircuts, interest rates, and credit cycles

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