New applications of general equilibrium to finance: default and collateral

MaRDI QIDQ3059453zbMATH OpenFDO

Authors Aloisio Araujo, Mário R. Páscoa

Publication date 8 December 2010

Mathematics Subject Classification ID

General equilibrium theory (91B50) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Recommendations

• Credit risk in general equilibrium
• Equilibrium with default and endogenous collateral.
• General equilibrium with endogenous uncertainty and default
• Determination of general equilibrium with incomplete markets and default penalties
• Default and Punishment in General Equilibrium1

Cited in

(5)

• General equilibrium, preferences and financial institutions after the crisis
• Equilibrium with limited-recourse collateralized loans
• Financial crisis and pricing of CDO in general equilibrium
• Leverage and default in binomial economies: a complete characterization
• Rothschild/Stiglitz dominance and (in)compatibility of collateral in the presence of ex ante hidden information

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