Endogenous collateral
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Publication:2387402
DOI10.1016/j.jmateco.2004.11.001zbMath1106.91041OpenAlexW4252257338MaRDI QIDQ2387402
José Fajardo, Aloisio Pessoa de Araujo, Mario Rui Pascoa
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
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Related Items (17)
Prices and investment with collateral and default ⋮ Equilibrium with limited-recourse collateralized loans ⋮ Partially revealing rational expectations equilibrium with real assets and binding constraints ⋮ Collateral once again ⋮ Collateral equilibrium. I: A basic framework ⋮ Fiat money and the value of binding portfolio constraints ⋮ Regulating collateral-requirements when markets are incomplete ⋮ Securities market theory: possession, repo and rehypothecation ⋮ Collateral premia and risk sharing under limited commitment ⋮ Long-lived collateralized assets and bubbles ⋮ More punishment, less default? ⋮ Equilibrium in collateralized asset markets: credit contractions and negative equity loans ⋮ Behavioral arbitrage with collateral and uncertain deliveries ⋮ Production, bankruptcy, and financial policies under collateral constraints ⋮ The fundamental theorem of asset pricing under default and collateral in finite discrete time ⋮ Statistical arbitrage with default and collateral ⋮ A note on arbitrage and exogenous collateral
Cites Work
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- Hedging contingent claims with constrained portfolios
- Incomplete markets, continuum of states and default
- Equilibrium with Default and Endogenous Collateral
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Equivalence in nonlinear programming
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