Equilibrium in collateralized asset markets: credit contractions and negative equity loans
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Publication:478126
DOI10.1016/j.jmateco.2014.10.006zbMath1304.91217OpenAlexW1991448638MaRDI QIDQ478126
Miguel A. Iraola, Juan Pablo Torres-Martínez
Publication date: 3 December 2014
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10533/130333
Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50) Credit risk (91G40)
Related Items (3)
Continuity of marketable payoffs with re-trading ⋮ Credit segmentation in general equilibrium ⋮ Financial segmentation and collateralized debt in infinite-horizon economies
Cites Work
- Collateral equilibrium. I: A basic framework
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- Existence of financial equilibria with restricted participation
- Bancruptcy in a model of unsecured claims.
- Equilibrium with limited-recourse collateralized loans
- Endogenous collateral
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- General equilibrium in CLO markets
- Quasi-Concave Programming
- Debt Constrained Asset Markets
- Efficiency, Equilibrium, and Asset Pricing with Risk of Default
- Default and Punishment in General Equilibrium1
- Collateral Avoids Ponzi Schemes in Incomplete Markets
- Implications of Efficient Risk Sharing without Commitment
- Arbitrage and equilibrium with portfolio constraints
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