Risk and the Role of Collateral in Debt Renegotiation

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dc.contributor.author Neus, Werner de_DE
dc.contributor.author Stadler, Manfred de_DE
dc.date.accessioned 2011-07-26 de_DE
dc.date.accessioned 2014-03-18T10:03:45Z
dc.date.available 2011-07-26 de_DE
dc.date.available 2014-03-18T10:03:45Z
dc.date.issued 2011 de_DE
dc.identifier.other 347806368 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-57385 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47866
dc.description.abstract In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic dominance criterion introduced by ROTHSCHILD AND STIGLITZ [1970], we show that it is not a project’s high risk, induced by a high probability of default, that makes collateral more effective. Instead it turns out that, given the expected return, the probability of default has no impact on the collateral’s effectiveness. Moreover, a higher risk of the project caused by a higher loss given default makes the use of collateral even less effective. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Schulden de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Debt renegotiation , Collateral , Risk , Stochastic dominance en
dc.title Risk and the Role of Collateral in Debt Renegotiation en
dc.type WorkingPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE
utue.opus.id 5738 de_DE
utue.publikation.source University of Tübingen Working Papers in Economics and Finance ; 16 de_DE

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