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Cited by 451

The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.

Rollover Risk and Market Freezes

ACHARYA, VIRAL V., GALE, DOUGLAS, YORULMAZER, TANJU·2011·The Journal of Finance
DOI 10.1111/j.1540-6261.2011.01669.x
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Abstract

The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short‐term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and a small probability of meeting a buy‐to‐hold investor. We then show that a small change in the asset's fundamental value can be associated with a catastrophic drop in the debt capacity, the kind of market freeze observed during the crisis of 2007 to 2008.

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Metadata

Authors
ACHARYA, V. V., GALE, D., & YORULMAZER, T.
Venue
The Journal of Finance
Publisher
Wiley
Published
2011-07-19
Volume
66
Issue
4
Pages
1177-1209
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2011.01669.x
OpenAlex
W3125818157
Cited by
451
References
33
FWCI
92.58
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Rollover Risk and Market Freezes. https://app.cochat.ai/papers/10.1111/j.1540-6261.2011.01669.x
The paper
ACHARYA, V. V., GALE, D., & YORULMAZER, T. (2011). Rollover Risk and Market Freezes. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2011.01669.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.