We develop a structural model that incorporates both macroeconomic risks and firm-specific jump risks. Using this model, we derive analytic formulas for default probability, equity price, and CDS spreads. We show that including the two types of risk in credit risk modeling can generate better...

Most assets clear independently rather than jointly. This paper presents a model based on the uniform-price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the...

We study markets based on the uniform-price double auction with T periods and I traders who have private information about their demands. The model accommodates the heterogeneity in the traders' risk preferences, the statistics of outcomes they condition their demands on, and general...

Advances in market-clearing technology for multiple assets and synthetic products present alternative ways to leverage complementarities and substitutabilites in asset payoffs. This paper compares their equilibrium and welfare effects. Our results underscore the difference the price impact makes...

Futures contracts have been highly successful financial securities, with substantial trading volumes and active underlying asset markets. In a dynamic market framework, we show that imperfect competition in future spot markets motivates trades in futures contracts in earlier periods. The...