General equilibrium in CLO markets

DOI10.1016/J.JMATECO.2006.10.006MaRDI QIDQ2642003zbMATH OpenOpenAlexFDO

Authors Mariano Steinert, Juan Pablo Torres-Martínez

Publication date 20 August 2007

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

Full work available at URL https://doi.org/10.1016/j.jmateco.2006.10.006

zbMATH Keywords

asset-backed securitizationextra-economic default penaltiesnon-trivial equilibrium

Mathematics Subject Classification ID

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

Recommendations

• Equilibrium with limited-recourse collateralized loans
• Equilibrium with default and endogenous collateral.
• Equilibrium in collateralized asset markets: credit contractions and negative equity loans
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• Default and Punishment in General Equilibrium1

Cites work

• An equilibrium existence theorem for a general model without ordered preferences
• Corrections to an equilibrium existence theorem for a general model without ordered preferences
• Default and Punishment in General Equilibrium1

Cited in

(9)

• Production, bankruptcy, and financial policies under collateral constraints
• CLO replenishment regarded as linear optimisation problem
• Collateral equilibrium. I: A basic framework
• Equilibrium with limited-recourse collateralized loans
• The impossibility of effective enforcement mechanisms in collateralized credit markets
• Collateral constraints, tranching, and price bases
• Financial segmentation and collateralized debt in infinite-horizon economies
• Equilibrium in collateralized asset markets: credit contractions and negative equity loans
• Equilibrium open interest

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