Liquidation Value and Loan Pricing
研究了抵押品清算价值如何受借款人与抵押品风险相互依赖的影响，利用回购协议数据发现借款人需为风险正相关支付溢价，且该溢价影响其抵押品选择。
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.