Liquidation Value and Loan Pricing

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2023-11-03 DOI:10.1111/jofi.13291

FRANCESCA BARBIERO, GLENN SCHEPENS, JEAN-DAVID SIGAUX

引用次数: 0

Abstract

This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction-level data on short-term repurchase agreements (repo), we show that borrowers pay a premium of 1.1 to 2.6 basis points when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan-level credit registry data suggest that the results extend to the corporate loan market as well.

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清算价值与贷款定价

本文表明，抵押品的变现价值取决于借款人与抵押品风险之间的相互依赖性。使用短期回购协议（回购）的交易水平数据，我们发现，当借款人的违约风险与他们质押的抵押品的风险呈正相关时，他们支付1.1至2.6个基点的溢价。此外，我们还表明，借款人在选择抵押品时会将这种溢价内化。贷款水平信贷登记处的数据表明，这一结果也适用于企业贷款市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

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