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Financial constraints and collateral crises
Araujo, Luis; Guimarães, Bernardo; Rodrigues, Diego - 2020
Persistent link: https://www.econbiz.de/10012172921
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Indicators of collateral misreporting
Demiroglu, Cem; James, Christopher M. - In: Management science : journal of the Institute for … 64 (2018) 4, pp. 1747-1760
Persistent link: https://www.econbiz.de/10011855732
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Equilibrium securitization with diverse beliefs
Ellis, Andrew; Piccione, Michele; Zhang, Shengxing - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 121-152
We study the effects of diverse beliefs on equilibrium securitization under risk neutrality. We provide a simple characterization of the optimal securities. Pooling and tranching of assets emerges in equilibrium as a consequence of the traders' diverse beliefs about asset returns. The issuer of...
Persistent link: https://www.econbiz.de/10012806923
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Financial constraints and collateral crises
Araujo, Luis; Guimarães, Bernardo; Rodrigues, Diego - In: Review of economic dynamics 38 (2020), pp. 238-250
Persistent link: https://www.econbiz.de/10012653089
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Collateral constraints, tranching, and price bases
Gong, Feixue; Phelan, Gregory - In: Economic theory 75 (2023) 2, pp. 317-340
Persistent link: https://www.econbiz.de/10014226634
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Boom-bust cycles : leveraging, complex securities, and asset prices
Semmler, Willi; Bernard, Lucas - In: Journal of economic behavior & organization : JEBO 81 (2012) 2, pp. 442-465
Persistent link: https://www.econbiz.de/10009626477
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Security design without verifiable retention
Li, Qi - In: Journal of economic theory 200 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013192553
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Equilibrium securitization with diverse beliefs
Ellis, Andrew; Piccione, Michele; Zhang, Shengxing - 2021
Persistent link: https://www.econbiz.de/10012506807
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Divergent risk-attitudes and endogenous collateral constraints
Curatola, Giuliano Antonio; Faia, Ester - In: Journal of economic theory 192 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10012805378