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The Credit Risk in Stock-Based Loans
Stock-based loans are an increasingly popular form of loan that are collateralised using stocks. Since these loans are often non-recourse loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the borrower defaults. This dissertation will consider the credit...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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| _version_ | 1867613208242552832 |
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| access_status_str | Open Access |
| author | Korula, Febin |
| author2 | McWalter, Thomas |
| author_browse | Korula, Febin McWalter, Thomas |
| author_facet | McWalter, Thomas Korula, Febin |
| author_sort | Korula, Febin |
| collection | Thesis |
| description | Stock-based loans are an increasingly popular form of loan that are collateralised using stocks. Since these loans are often non-recourse loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the borrower defaults. This dissertation will consider the credit risk faced by lenders when issuing these loans. To achieve this, this dissertation will propose different models to quantify this risk using various credit measures. A sensitivity analysis to key model parameters is then conducted. Some brief comments about capital requirements will also be made. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29380 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:29.432Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/29380 The Credit Risk in Stock-Based Loans Korula, Febin McWalter, Thomas Backwell, Alex Mathematical Finance Stock-based loans are an increasingly popular form of loan that are collateralised using stocks. Since these loans are often non-recourse loans, the lenders are subject to the risk that the collateral is worth less than the loan, and the borrower defaults. This dissertation will consider the credit risk faced by lenders when issuing these loans. To achieve this, this dissertation will propose different models to quantify this risk using various credit measures. A sensitivity analysis to key model parameters is then conducted. Some brief comments about capital requirements will also be made. 2019-02-06T12:54:38Z 2019-02-06T12:54:38Z 2018 2019-02-06T07:54:25Z Master Thesis Masters MPhil http://hdl.handle.net/11427/29380 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Korula, Febin The Credit Risk in Stock-Based Loans |
| thesis_degree_str | Master's |
| title | The Credit Risk in Stock-Based Loans |
| title_full | The Credit Risk in Stock-Based Loans |
| title_fullStr | The Credit Risk in Stock-Based Loans |
| title_full_unstemmed | The Credit Risk in Stock-Based Loans |
| title_short | The Credit Risk in Stock-Based Loans |
| title_sort | credit risk in stock based loans |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/29380 |
| work_keys_str_mv | AT korulafebin thecreditriskinstockbasedloans AT korulafebin creditriskinstockbasedloans |