Field
Value
Language
dc.contributor.author
Lee, David
datacite.creator.affiliationIdentifier
https://ror.org/01pxwe438
en_US
datacite.creator.affiliation
McGill University
en_US
datacite.creator.nameIdentifier
https://orcid.org/0009-0009-7261-8751
en_US
dc.coverage.temporal
2015-11-27/2023-11-27
dc.date.accessioned
2024-01-08T20:47:45Z
dc.date.available
2024-01-08T20:47:45Z
dc.date.issued
2024-01-08
dc.identifier.uri
https://www.frdr-dfdr.ca/repo/dataset/099fd397-fa4e-42b5-bbf2-ec108807941d
dc.identifier.uri
https://doi.org/10.20383/103.0858
dc.description
Margin and collateral agreements have become one of the most important and widespread credit risk mitigation techniques in financial markets. Empirically we decompose swap spreads into their credit risk factors and study the impact of credit risk and margin agreement on the market spreads. We find empirical evidence that collateralization can always improve recovery and reduce credit risk. We also find that counterparty risk alone cannot overly explain credit-related spreads. Instead, only the joint effects of collateralization and credit risk can sufficiently interpret unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of financial contracts.
en_US
dc.publisher
Federated Research Data Repository / dépôt fédéré de données de recherche
dc.rights
Creative Commons Attribution 4.0 International (CC BY 4.0)
en_US
dc.rights.uri
https://creativecommons.org/licenses/by/4.0/
en_US
dc.subject
asset pricing
en_US
dc.subject
plumbing of the financial system
en_US
dc.subject
swap premium spread
en_US
dc.subject
credit risk
en_US
dc.subject
collateralization
en_US
dc.title
Empirical Evidence of Margin Agreement
en_US
globus.shared_endpoint.name
f163c1b3-9c88-42f6-a7bb-5839ed6c4063
globus.shared_endpoint.path
/1/published/publication_853/
datacite.publicationyear
2024
datacite.contributor.ResearchGroup
https://finpricing.com/lib/IrCurveIntroduction.html
datacite.date.Collected
2015-11-27/2023-11-27
datacite.resourcetype
Dataset
en_US
datacite.relatedidentifier.IsDerivedFrom
https://finpricing.com/lib/IrCurveIntroduction.html
datacite.fundingReference.funderIdentifier
en_US
datacite.fundingReference.funderName
en_US
datacite.fundingReference.awardNumber
en_US
datacite.fundingReference.awardTitle
en_US
frdr.crdc.code
RDF5020404
en_US
frdr.crdc.group_en
Economics and business administration
en_US
frdr.crdc.class_en
Finance
en_US
frdr.crdc.field_en
Financial systems and banking
en_US
frdr.crdc.group_fr
Sciences économiques et administration des affaires
fr_CA
frdr.crdc.class_fr
Finance
fr_CA
frdr.crdc.field_fr
Systèmes financiers et institutions bancaires
fr_CA