OTC derivatives but rather shift them from banks to CCPs. Under the present regulatory overhaul, the OTC derivative market …, indicates that the proposed changes may not provide the best solution. The paper suggests that a tax on derivative liabilities …

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an … important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher … (2004), this paper uses a market-based measure of systematic default risk. The measure is constructed using price …

Pascoa and Seghir (2009) noticed that when collateralized promises become subject to utility penalties on default … the collateral does not yield utility (for example, when it is a productive asset or a security). Equilibrium exists also … under more severe penalties and collateral utility gains, when the promise or the collateral are nominal assets and the …

In this paper we examine the effects of default and collateral on risk sharing. We assume that there is a large set of … assets which all promise a risk less payoff but which distinguish themselves by their collateral requirements. In equilibrium … agents default, the assets have different payoffs, and there are as many linearly independent assets available for trade as …

models with limited commitment, default penalties and collateral. Along this line, we introduce in the setting of Araujo et … existence of equilibria in a model with limited commitment and (possible) default. We appropriately modify the definition of … show that, independent of the level of default penalties, restricting plans to have finite equivalent payoffs rules out …

the current efforts by the Basel Committee on Banking Supervision and others to re-establish sustainable securitization …

one of the biggest financial innovations of the last century, securitization is now viewed as a contributory factor to the … crisis. Until recently research has focused on the post-1970s mortgage securitization market. In this paper, I trace the … earlier origins of securitization, from the 12th century Genoese compera through to early 20th century efforts. The historical …

during a sustained boom, an upward revision of profit expectations should lead to higher leverage ratios and greater risk … role in Minsky's theory, exhibited any such patterns. I conclude that the nonfinancial corporate sector did not move toward …

punishment for defaults, under which investors stop paying the intermediary after the first default. With securitization …We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then … sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by …