Rollover risk and credit risk under time-varying margin

References

• Acharya, V., Drechsler, I. and Schnabl, P., A pyrrhic victory? Bank bailouts and sovereign credit risk. J. Finance, 2014, 69(9), 2689–2739.
   Web of Science ®Google Scholar
• Acharya, V., Schnabl, P. and Suarez, G., Securitization without risk transfer. J. Financ. Econ., 2013, 107(3), 515–536.
   Web of Science ®Google Scholar
• Acharya, V. and Skeie, D., A model of liquidity hoarding and term premia in inter-bank markets. J. Monetary Econo., 2011, 58(5), 436–447.
   Web of Science ®Google Scholar
• Adrian, T. and Shin, H., Procyclical leverage and value-at-risk. Rev. Financ. Stud., 2014, 27(2), 373–403.
   Web of Science ®Google Scholar
• Ashcraft, A., Gârleanu, N. and Pedersen, L., Two monetary tools: Interest rates and haircuts. NBER Macroecon. Annu., 2010, 25, 143–180.
   Google Scholar
• Bao J., Structural models of default and the cross section of corporate bond yield spreads. Working Paper, MIT, 2009.
   Google Scholar
• Bao, J., Pan, J. and Wang, J., The illiquidity of corporate bonds. J. Finance, 2011, 66(3), 911–946.
   Web of Science ®Google Scholar
• Barone-Adesi, G., Rasmussen, H. and Ravanelli, C., An option pricing formula for the GARCH diffusion model. Comput. Statistics Data Anal., 2005, 49, 287–310.
   Web of Science ®Google Scholar
• Basel Committee on Banking Supervision, Liquidity Risk: Management and Supervisory Challenges, 2008a (Bank for International Settlements: Basel).
   Google Scholar
• Basel Committee on Banking Supervision, Principles for Sound Liquidity Risk Management and Supervision, 2008b (Bank for International Settlements: Basel).
   Google Scholar
• Black, F. and Cox, J., Valuing corporate securities: Some effects of bond indenture provisions. J. Finance, 1976, 31, 351–367.
   Web of Science ®Google Scholar
• Brunnermeier, M. and Pedersen, L., Market liquidity and funding liquidity. Rev. Financ. Stud., 2009, 22(6), 2201–2238.
   Web of Science ®Google Scholar
• Chen H., Xu Y. and Yang J., Systematic risk, debt maturity, and the term structure of credit spreads. NBER Working Paper No. 18367, 2012. Available online at: http://www.nber.org/papers/w18367
   Google Scholar
• Covitz, D., Liang, N. and Suarez, G., The evolution of a financial crisis: Collapse of the asset-backed commercial paper market. J. Finance, 2013, 68(3), 815–848.
   Web of Science ®Google Scholar
• Custódio, C., Ferreira, M. and Laureano, L., Why are US firms using more short-term debt? J. Financ. Econ., 2013, 108(1), 182–212.
   Web of Science ®Google Scholar
• Danielson J., Shin H. and Zigrand J., Procyclical leverage and endogenous risk. Working Paper, 2012. Available online at: http://ssrn.com/abstract
   Google Scholar
• Filipović, D. and Trolle, A., The term structure of interbank risk. J. Financ. Econ., 2013, 109(3), 707–733.
   Web of Science ®Google Scholar
• Financial Stability Institute, Liquidity transfer pricing: A guide to better practice. Occasional Paper No 10, Bank for International Settlements, 2011.
   Google Scholar
• Gârleanu, M. and Pedersen, L., Margin-based asset pricing and the law of one price. Rev. Financ. Stud., 2011, 24(6), 1980–2022.
   Web of Science ®Google Scholar
• Geanakoplos J., Solving the present crisis and managing the leverage cycle. Fed. Reserve Bank of New York Econ. Pol. Rev., 2010, 16(1), 101–131.
   Google Scholar
• Geanakoplos J., Promises, promises. In The Economy as an Evolving Complex System II, edited by W.B. Arthur, S.D. Lane, pp. 285–320, 1997 (Addison-Wesley: Reading, MA).
   Google Scholar
• Gibson, R. and Murawski, C., Margining in derivatives markets and the stability of the banking sector. J. Bank. Finance, 2013, 37(4), 1119–1132.
   Web of Science ®Google Scholar
• Gopalan R., Song F. and Yerramilli V., Debt maturity structure and credit quality. Working Paper, Washington University St. Louis, 2010.
   Google Scholar
• Gorton, G. and Metrick, A., Securitized banking and the run on repo. J. Financ. Econ., 2012, 104(3), 425–451.
   Web of Science ®Google Scholar
• He, Z. and Xiong, W., Rollover risk and credit risk. J. Finance, 2012, 67(2), 391–430.
   Web of Science ®Google Scholar
• Huang, J. and Huang, M., How much of the corporate-treasury yield spread is due to credit risk? Rev. Asset Pricing Stud., 2003, 2, 153–202.
   Google Scholar
• Johannes, M. and Sundaresan, S., The impact of collateralization on swap rates. J. Finance, 2007, 62(1), 383–410.
   Web of Science ®Google Scholar
• Karatzas, I. and Shreve, S., Brownian Motion and Stochastic Calculus, 2nd ed., Vol. 113, Graduate Texts in Mathematics, 1998 (Springer Verlag: New York, NY).
   Google Scholar
• Liang, G., Lütkebohmert, E. and Wei, W., Funding liquidity, debt tenor structure, and creditor’s belief: An exogenous dynamic debt run model. Math. Financ. Econ., 2015, 9, 271–302.
   Web of Science ®Google Scholar
• Liang, G., Lütkebohmert, E. and Xiao, Y., A multi-period bank run model for liquidity risk. Rev. Finance, 2014, 18, 803–842.
   Web of Science ®Google Scholar
• Lütkebohmert E., Oeltz D. and Xiao Y., Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk. Eur. Financ. Manage., 2016. doi:10.1111/eufm.12089.
   Google Scholar
• Morris S. and Shin H., Illiquidity component of credit risk. Unpublished Paper, Princeton University, 2010.
   Google Scholar
• Schroth, E., Suarez, G. and Taylor, L., Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis. J. Financ. Econ., 2014, 112(2), 164–189.
   Web of Science ®Google Scholar
• Zhang, B., Zhou, H. and Zhu, H., Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Rev. Financ. Stud., 2009, 22(12), 5099–5131.
   Web of Science ®Google Scholar