Home
Jean-David Sigaux
I am an economist in the Financial Research Division at the European Central Bank (my CV)
My research interests are: Money markets, Asset pricing, Fixed income and Market microstucture. My research is both empirical and theoretical.
Disclaimer: This is my private site and the views expressed in the material on these pages are my own and do not reflect those of the European Central Bank
This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction-level data on short-term repurchase agreements (repo), we show that borrowers pay a 1.1 to 2.6 basis points premium when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan-level credit registry data suggest that the results extend to the corporate loan market as well.