Structured finance instruments represent a form of securitization technology which can be defined by the … securitization, in order to identify the economic forces underlying the creation of SF instruments. A question addressed is under … what circumstances one would expect to observe pooling alone (as with traditional securitization) versus pooling and …

framework (see, e.g. Giraud and Weyers, 2004) we add two key ingredients: First, default is allowed at equilibrium by means of … some collateral requirement for financial assets; second, information among players about the structure of uncertainty is … heterogeneous beliefs were eliminated from the market (although default is possible at equilibrium) but because they have taken time …

novating trades implements efficient trading behaviour. It is optimal for the CCP to face default losses to achieve the … efficient level of trade. To cover these losses, the CCP optimally uses margin calls, and, as the default problem becomes more … severe, also requires default funds and then imposes position limits. …

default e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …

concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … bonds. Default contagion exacerbates the pace and severity of changes for CDO tranches. …

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …