Dynamic asset-backed security design

DOI10.1093/RESTUD/RDAD022MaRDI QIDQ6638697zbMATH OpenFDO

Authors Emre Ozdenoren, Kathy Yuan, Shengxing Zhang

Publication date 14 November 2024

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

zbMATH Keywords

collateralrepomultiple equilibriaadverse selectionlimited commitmentliquidityfinancial fragilityhaircutsecurity designasset-backed securitydynamic price feedbackintertemporal coordinationmarket-based financial intermediationnon-bank financial intermediaryrepo runsself-fulfilling prices

Mathematics Subject Classification ID

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

Recommendations

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• Security design without verifiable retention
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