2016/02/01 by Parsiad Azimzadeh, Azimzadeh, Parsiad
Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Housing Market and Economics #Stochastic processes and financial applications #msc:91G20 #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1602.00619
10 pages, 2 figures, 2 tables
arxiv created 2016/12/21 · arxiv updated 2016/12/23
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.