Xu, Liheng. 2012. Collateral.
Doctoral Dissertation, Cornell University.
The theme of this
dissertation is Collateral. The first chapter focuses on the meaning of
collateral value. The main idea is that collateral value is the expected
liquidation price conditional on the borrower's default, which is not
necessarily the distressed value of the underlying asset. The second chapter
compares the price movement of an asset before and after it has been used as
collateral. A "V" shaped price path is documented for the asset used
as collateral, suggesting a possible market instability.
No comments:
Post a Comment