The Credit Risk in Stock-Based Loans

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dc.contributor.advisorMcWalter, Thomas
dc.contributor.advisorBackwell, Alex
dc.contributor.authorKorula, Febin
dc.date.accessioned2019-02-06T12:54:38Z
dc.date.available2019-02-06T12:54:38Z
dc.date.issued2018
dc.date.updated2019-02-06T07:54:25Z
dc.description.abstractStock-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.
dc.identifier.apacitationKorula, F. (2018). <i>The Credit Risk in Stock-Based Loans</i>. (). University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/29380en_ZA
dc.identifier.chicagocitationKorula, Febin. <i>"The Credit Risk in Stock-Based Loans."</i> ., University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018. http://hdl.handle.net/11427/29380en_ZA
dc.identifier.citationKorula, F. 2018. The Credit Risk in Stock-Based Loans. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Korula, Febin AB - 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. DA - 2018 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2018 T1 - The Credit Risk in Stock-Based Loans TI - The Credit Risk in Stock-Based Loans UR - http://hdl.handle.net/11427/29380 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/29380
dc.identifier.vancouvercitationKorula F. The Credit Risk in Stock-Based Loans. []. University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/29380en_ZA
dc.language.isoeng
dc.publisher.departmentAfrican Institute of Financial Markets and Risk Management
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Finance
dc.titleThe Credit Risk in Stock-Based Loans
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhil
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