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Collateral

Author
Xu, Liheng
Abstract
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.
Date Issued
2012-05-27Subject
Collateral; Bank Loans; Asset Pricing
Committee Chair
Jarrow, Robert A.
Committee Member
Saar, Gideon; Tsyrennikov, Viktor
Degree Discipline
Management
Degree Name
Ph. D., Management
Degree Level
Doctor of Philosophy
Type
dissertation or thesis