Risk Management with Variable Capital Utilization and Time-Varying Collateral Capacity

• 成果类型: Article
• 署名作者: Chen, Guojun; Lu, Zhongjin; Vij, Siddharth
• 署名单位: University System of Georgia; University of Georgia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.00415
• 发表日期: 2025
• 关键词: Collateral constraint; corporate hedging; firm liquidity; expected profitability; procyclical collateral capacity; variable capital utilization

摘要

We build a risk management model that incorporates variable capital utilization and time -varying collateral capacity. The former lets firms optimally choose capital utilization, and hence production, which affects capital depreciation and risk exposure. The latter means firms' ability to borrow and hedge increases with expected earnings and thus utilization. Calibrated solutions show both ingredients matter for firm value. We test the novel model predictions using a new data set of oil and gas producers. Consistent with model predictions, we find utilization is negatively correlated with firm liquidity, while hedging is positively correlated with liquidity and expected profitability.