Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337256 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 31 [Issue:] 1 [Year:] 2023 [Pages:] 29-54
Publisher: 
Emerald, Leeds
Abstract: 
This paper aims to develop a credit-risk model in which firms face rollover risk, and the markets for defaulted assets are segmented due to entry costs. The paper shows that reducing the entry costs in this economy may decrease the total surplus of the economy. This outcome can arise because when market barriers are lifted, the gap between the liquidation prices across the markets will shrink, but then the market that would experience a price drop may face more bankruptcies because the rollover risk will increase in that market. The paper describes under which condition such an intervention policy improves or hurts the total surplus.
Subjects: 
Contagion
Intervention policy
Market segmentation
Rollover risk
JEL: 
G01
G10
G33
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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