Pinna, Andrea - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2014
In a model of Originate-To-Distribute (OTD) banking, I show that contagion may spread before any preference shock, fire sale, or change in haircuts takes place. The drivers of contagion are opaqueness of collateral and roll-over frequency. Complexity of structured finance and poor screening of...