Regulating collateral-requirements when markets are incomplete

DOI10.1016/J.JET.2010.09.004zbMath1258.91131OpenAlexW2057531951MaRDI QIDQ413485

Felix Kubler, Susan Schommer, Aloisio Pessoa de Araujo

Publication date: 7 May 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/38755/1/Regulating_Collateral_when_markets_are_incomplete.pdf

zbMATH Keywords

collateraldefaultregulationgeneral equilibriumincomplete marketsPareto efficiencywelfarerisk sharinggovernment interventionidentical homothetic utility

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) General equilibrium theory (91B50)

Related Items (13)

Prices and investment with collateral and default ⋮ Equilibrium efficiency with secured and unsecured assets ⋮ Partially revealing rational expectations equilibrium with real assets and binding constraints ⋮ Collateral equilibrium. I: A basic framework ⋮ Collateral constraints, tranching, and price bases ⋮ Introduction to general equilibrium ⋮ Why does bad news increase volatility and decrease leverage? ⋮ Surprise and default in general equilibrium ⋮ Debt collateralization, capital structure, and maximal leverage ⋮ Financial segmentation and collateralized debt in infinite-horizon economies ⋮ Collateralized borrowing and increasing risk ⋮ General equilibrium, preferences and financial institutions after the crisis ⋮ COLLATERAL REQUIREMENTS AND ASSET PRICES

Cites Work

• Pareto improving financial innovation in incomplete markets
• Endogenous collateral
• Collateral premia and risk sharing under limited commitment
• Equilibrium with Default and Endogenous Collateral
• Default and Punishment in General Equilibrium1
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets

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