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Prices and Investment with Collateral and Default

Magill, Michael J. P. - 2014

collateral for loans, to study the effect of an unanticipated income shock when the economy is in a steady state equilibrium. We … focus on the consequence of default on loans when the value of the collateral falls below the value of the debt it secures …

Persistent link: https://www.econbiz.de/10013055704

Credit risk assessment considering variations in exposure : application to commitment lines

Fujiwara, Shigeaki - 2008

Persistent link: https://www.econbiz.de/10003650951

Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives

Wang, Qian - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003320531

Credit risk assessment considering variations in exposure : application to commitment lines

Fujiwara, Shigeaki - In: Monetary and economic studies 27 (2009), pp. 171-194

Persistent link: https://www.econbiz.de/10003910140

Leverage and default in binomial economies : a complete characterization

Fostel, Ana; Geanakoplos, John - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 6, pp. 2191-2229

Persistent link: https://www.econbiz.de/10011431541

Prices and investment with collateral and default

Magill, Michael; Quinzii, Martine - 2014

Persistent link: https://www.econbiz.de/10010250542

Default risk of money-market fund portfolios

Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71

Persistent link: https://www.econbiz.de/10011442549

General equilibrium dynamics with nai͏̈ve and sophisticated hyperbolic consumers in an overlapping generations economy

Ojima, Takeshi - 2013 - Revised January 2014

Using an overlapping generations model, this paper describes interactions between nai͏̈ve and sophisticated hyperbolic discounters in general equilibrium. The nai͏̈fs, who overestimate their future propensity to save and hence over-forecast the future equilibrium asset prices, are exploited...

Persistent link: https://www.econbiz.de/10011432362

General equilibrium dynamics with nai͏̈ve and sophisticated hyperbolic consumers in an overlapping generations economy

Ojima, Takeshi - 2013

Using an overlapping generations model, this paper describes interactions between nai͏̈ve and sophisticated hyperbolic discounters in general equilibrium. The nai͏̈fes, who overestimate their future propensity to save and hence over-forecast the future equilibrium asset prices, are exploited...

Persistent link: https://www.econbiz.de/10010126893

Collateral, Default Penalties and Infinite Horizon Equilibrium

Pascoa, Mario - 2012

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 …

Persistent link: https://www.econbiz.de/10013103926

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