kernel generates a market price of risk that is substantially larger than the standard complete markets asset pricing kernel. …We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the … kernel implied by the model and to evaluate its performance in pricing aggregate risk. We employ the same data to construct …

This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and …

occurs for both complete and incomplete asset markets. …

originators to hold some skin-in-the-game, markets remain incomplete and risk-sharing is limited. In this case, fire-sales are …This paper studies the welfare properties of competitive equilibria in an economy with incomplete markets subject to … idiosyncratic and aggregate shocks. We focus on the role of securitization, whereby borrowers can reduce idiosyncratic asset risk …

are presented within a costly state verification model with a risk averse entrepreneur. The prospect of disputes …

I model an incomplete markets economy where unaware agents do not perceive all states of nature, so unintended default …, but the Second Fundamental Welfare Theorem holds for economies with no aggregate risk. Welfare is shown to not necessarily …

demonstrated in a costly state verification model with a risk averse entrepreneur. The prospect of disputes encourages incentive …