Variation margins, fire sales, and information-constrained optimality

DOI10.1093/RESTUD/RDAA083zbMATH Open1481.91208OpenAlexW3121304779MaRDI QIDQ5022693FDOQ5022693

Authors: Bruno Biais, Florian Heider, Marie Hoerova 

Publication date: 19 January 2022

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/44280/1/wp_tse_1296.pdf

Recommendations

• Counterparty risk externality: centralized versus over-the-counter markets
• Incomplete markets and derivative assets
• Transparency and collateral: central versus bilateral clearing
• Asset markets with heterogeneous information
• Dynamic investment and counterparty risk

zbMATH Keywords

regulationmoral hazardconstrained efficiencypecuniary externalityfire salesvariation margins

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Risk models (general) (91B05)

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