Crashes and Collateralized Lending
نویسندگان
چکیده
منابع مشابه
Crashes and Collateralized Lending
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 bea...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1658935