Equilibrium securitization with diverse beliefs

DOI10.3982/TE4157MaRDI QIDQ5087340zbMATHOpenAlexFDO

Authors

Publication date 11 July 2022

Published in Theoretical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/te4157

zbMATH Keywords

collateralpoolingheterogeneous beliefssecuritizationtranching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• Belief disagreements and collateral constraints
• Diversification and equilibrium in securities markets
• Optimal tranching with diverse beliefs

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