Variation Margins, Fire Sales, and Information-constrained Optimality

DOI10.1093/RESTUD/RDAA083zbMath1481.91208OpenAlexW3121304779MaRDI QIDQ5022693

Marie Hoerova, Florian Heider, Bruno Biais

Publication date: 19 January 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/44280/1/wp_tse_1296.pdf

zbMATH Keywords

regulationmoral hazardconstrained efficiencypecuniary externalityfire salesvariation margins

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Risk models (general) (91B05)

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