摘要翻译：
金融危机期间的重大违约（或接近违约）事件，尤其是美国国际集团，都牵涉到抵押品的变化。我们开发了一个框架来量化这种影响，基于默顿型和布莱克-考克斯型结构性违约模型之间的移动。我们的框架导致了一个单一的方程，它涵盖了可能性的范围，包括抵押品回收频率（即离散观测）。我们表明，通过使实体暴露于每日相对于市场的波动性，担保的增加提高了违约概率。这就量化了众所周知的附带触发问题。此外，我们的模型可以用来量化中央对手方在消除信用风险传导的同时系统地增加违约风险的程度。
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英文标题：
《Collateral-Enhanced Default Risk》
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作者：
Chris Kenyon and Andrew Green
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our framework leads to a single equation that emcompasses the range of possibilities, including collateralization remargining frequency (i.e. discrete observations). We show that increases in collateralization, by exposing entities to daily mark-to-market volatility, enhance default probability. This quantifies the well-known problem with collateral triggers. Furthermore our model can be used to quantify the degree to which central counterparties, whilst removing credit risk transmission, systematically increase default risk.
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PDF链接：
https://arxiv.org/pdf/1302.4595