Art-secured lending: a risk analysis framework
| dc.contributor.author | Charlin, Ventura | |
| dc.contributor.author | Cifuentes, Arturo | |
| dc.date.accessioned | 2025-01-23T19:47:23Z | |
| dc.date.available | 2025-01-23T19:47:23Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | In recent years, art-secured lending has grown in both size and popularity. Yet, this business still lacks a well-accepted approach to assess the risks involved. To that end, in this study, we identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation. In addition, we derive some useful closed-form expressions that are suitable when the collateral consists of only one painting. To help decision makers and risk managers, we introduce a number of risk-related metrics that provide a detailed characterization of the lending operation risk profile. We conclude that with the customary loan-to-value ratios currently prevalent in the art-based lending business (around 50%), the lender's exposure is quite bounded. Moreover, the advantages of having a diversified collateral, from a risk perspective, are relevant. Finally, we find that the uncertainty related to the value of a painting is much more important than the uncertainty related to either the credit risk profile of a borrower or the artist's returns during the period that a loan remains outstanding. | |
| dc.description.funder | FONDECYT | |
| dc.fuente.origen | WOS | |
| dc.identifier.doi | 10.21314/JCR.2020.261 | |
| dc.identifier.eissn | 1755-9723 | |
| dc.identifier.issn | 1744-6619 | |
| dc.identifier.uri | https://doi.org/10.21314/JCR.2020.261 | |
| dc.identifier.uri | https://repositorio.uc.cl/handle/11534/100377 | |
| dc.identifier.wosid | WOS:000584978400003 | |
| dc.issue.numero | 2 | |
| dc.language.iso | en | |
| dc.pagina.final | 93 | |
| dc.pagina.inicio | 67 | |
| dc.revista | Journal of credit risk | |
| dc.rights | acceso restringido | |
| dc.subject | financial risk management | |
| dc.subject | Monte Carlo simulation | |
| dc.subject | art-secured lending | |
| dc.subject | market risk | |
| dc.subject | credit risk | |
| dc.title | Art-secured lending: a risk analysis framework | |
| dc.type | artículo | |
| dc.volumen | 16 | |
| sipa.index | WOS | |
| sipa.trazabilidad | WOS;2025-01-12 |