Collateral constraints, tranching, and price bases
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Publication:6107359
DOI10.1007/s00199-022-01414-8zbMath1519.91260OpenAlexW4206942635MaRDI QIDQ6107359
Publication date: 3 July 2023
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-022-01414-8
Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50) Credit risk (91G40)
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Cites Work
- Collateral equilibrium. I: A basic framework
- Regulating collateral-requirements when markets are incomplete
- Why does bad news increase volatility and decrease leverage?
- Collateralized borrowing and increasing risk
- Debt collateralization, capital structure, and maximal leverage
- Belief Disagreements and Collateral Constraints
- Dynamic Competitive Economies with Complete Markets and Collateral Constraints
- COLLATERAL REQUIREMENTS AND ASSET PRICES