Abstract

http://ssrn.com/abstract=1114046
 
 

References (42)



 
 

Citations (1)



 


 



Art-Backed Lending: Implied Spreads and Art Risk Management


Rachel A.J. Pownall


Tilburg University - Department of Finance; Maastricht University - Department of Finance

Christian Wiehenkamp


RiskLab GmbH

March 20, 2009


Abstract:     
The increasing portion of individuals' wealth in art sets the stage for art-backed lending services. Considering widely used credit default swaps, the paper applies the structure to art-backed loans and develops an extensive pricing model for the derivatives contract, explicitly taking art market characteristics into account. Using a CDS pricing methodology sheds light on current lending spreads and provides a risk management tool for art-backed lending institutions. At the same time, an introduced art credit default swap would offer an ability to transfer the lender's risk with respect to the art price. The results suggest that credit risk accounts for at most 50% of current art-backed lending spreads.

Number of Pages in PDF File: 37

Keywords: Art Market, Credit Default Swaps, Risk Management

JEL Classification: G13, G14, Z11

working papers series


Download This Paper

Date posted: April 1, 2008 ; Last revised: March 23, 2009

Suggested Citation

Pownall, Rachel A.J. and Wiehenkamp, Christian, Art-Backed Lending: Implied Spreads and Art Risk Management (March 20, 2009). Available at SSRN: http://ssrn.com/abstract=1114046 or http://dx.doi.org/10.2139/ssrn.1114046

Contact Information

Rachel Ann Jane Pownall
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Maastricht University - Department of Finance ( email )
Maastricht, 6200 MD
Netherlands
Christian Wiehenkamp (Contact Author)
RiskLab GmbH
Seidlstr. 24-24a
Munich, 80335
Germany
HOME PAGE: http://www.risklab.com
Feedback to SSRN


Paper statistics
Abstract Views: 1,954
Downloads: 462
Download Rank: 32,185
References:  42
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.640 seconds