Endogenous collateral

DOI10.1016/J.JMATECO.2004.11.001MaRDI QIDQ2387402zbMATH OpenOpenAlexFDO

Authors José Fajardo, Aloisio Araujo, Mário R. Páscoa

Publication date 2 September 2005

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2004.11.001

zbMATH Keywords

Non-arbitrage

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

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Cites work

• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Equilibrium with default and endogenous collateral.
• Equivalence in nonlinear programming
• Hedging contingent claims with constrained portfolios
• scientific article; zbMATH DE number 3547015 (Why is no real title available?)
• Incomplete markets, continuum of states and default

Cited in

(20)

• Prices and investment with collateral and default
• Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints
• Collateral once again
• Production, bankruptcy, and financial policies under collateral constraints
• Equilibrium with limited-recourse collateralized loans
• Collateral premia and risk sharing under limited commitment
• The fundamental theorem of asset pricing under default and collateral in finite discrete time
• A note on arbitrage and exogenous collateral
• Equilibrium with default and endogenous collateral.
• Partially revealing rational expectations equilibrium with real assets and binding constraints
• Collateral equilibrium. I: A basic framework
• Regulating collateral-requirements when markets are incomplete
• Securities market theory: possession, repo and rehypothecation
• Long-lived collateralized assets and bubbles
• More punishment, less default?
• Equilibrium in collateralized asset markets: credit contractions and negative equity loans
• Fiat money and the value of binding portfolio constraints
• Behavioral arbitrage with collateral and uncertain deliveries
• Optimal credit market policy
• Statistical arbitrage with default and collateral

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