Similar Search Results

Rational asset pricing implications from realistic trading frictions

Zigrand, Jean-Pierre - London School of Economics (LSE) - 2002

it is shown that arbitrage opportunities occur which could not have occured in a standard model. A certain and precise … degree of informativeness of prices to the traders is lost because the decision making process becomes endogenously segmented … and decentralized within the same decision making entity (distinct "trading desks"). It is shown that, compared to the …

Persistent link: https://www.econbiz.de/10010746573

Strategic financial innovation in segmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

We study a model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different market segments. We endogenize the asset structure as the outcome of a security design game played by the arbitrageurs. The equilibrium asset structure...

Persistent link: https://www.econbiz.de/10010746496

Consistent measures of risk

Danielsson, Jon; Zigrand, Jean-Pierre; Jorgensen, Bjørn N. - London School of Economics (LSE) - 2006

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk...

Persistent link: https://www.econbiz.de/10011071496

Rational limits to arbitrage

Zigrand, Jean-Pierre - London School of Economics (LSE) - 2001

properties of such equilibria, in particular the prevalence of arbitrage and of informational inefficiencies. …

Persistent link: https://www.econbiz.de/10010745688

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2006

We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10010746199

Arbitrage networks

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008

This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented … consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs. The optimal network for …

Persistent link: https://www.econbiz.de/10010746593

What happens when you regulate risk?: evidence from a simple equilibrium model

Zigrand, Jean-Pierre; Danielsson, Jon - London School of Economics (LSE) - 2001

The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in risk preferences, wealth and the degree of supervision. Regulatory risk constraints lower the probability of one form of a systemic crisis, at the...

Persistent link: https://www.econbiz.de/10010746696

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008

We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10011126632

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...

Persistent link: https://www.econbiz.de/10010884503

A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...

Persistent link: https://www.econbiz.de/10010745443