Endogenous collateral: arbitrage and equilibrium without bounded short sales

Autor:	Pascoa, Mario Rui, Araújo, Aloísio Pessoa de, Barbachan, José Santiago Fajardo
Přispěvatelé:	Escolas::EPGE, FGV
Rok vydání:	2001
Předmět:	Non arbitrage Equilíbrio econômico Economia Endogenous collateral
Zdroj:	Repositório Institucional do FGV (FGV Repositório Digital) Fundação Getulio Vargas (FGV) instacron:FGV
Popis:	We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are submartingales, whereas non arbitrage purchase prices of the derivatives (secured by the pool of collaterals) are supermartingales. We use these non arbitrage conditions to establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents. Our results are particularly relevant for the collateralized mortgage obligations(CMO) markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0d1241e8781ac3a2bff6470a32da8d4c http://bibliotecadigital.fgv.br/dspace/bitstream/10438/799/2/1269.pdf Zobrazit plný text záznamu