Collateralized Debt Networks with Lender Default

The Lehman Brothers' 2008 bankruptcy spread losses to its counterparties even when Lehman was a lender of cash, because collateral for that lending was tied up inthe bankruptcy process. Jin-Wook Change explores the implications of such lender default, using a model that takes into account counterparty risk, leverage and diversification, among other factors.

December 3, 2021

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