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

zbMATH Keywords

regulationmoral hazardconstrained efficiencypecuniary externalityfire salesvariation margins

Mathematics Subject Classification ID

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

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

Cited in

(1)

• Transparency and collateral: central versus bilateral clearing

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