Endogenous collateral

Detalhes bibliográficos
Autor(a) principal: Pascoa, Mario Rui
Data de Publicação: 2003
Outros Autores: Araújo, Aloísio Pessoa de, Barbachan, José Santiago Fajardo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/995
Resumo: We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by financial intermediaries is financed by selling back derivatives to consumers. We show that nonarbitrage prices of primitive assets are strict submartingales, whereas nonarbitrage prices of derivatives are supermartingales. Next we establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents.
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spelling Pascoa, Mario RuiAraújo, Aloísio Pessoa deBarbachan, José Santiago FajardoEscolas::EPGEFGV2008-05-13T15:45:50Z2008-05-13T15:45:50Z2003-11-040104-8910http://hdl.handle.net/10438/995We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by financial intermediaries is financed by selling back derivatives to consumers. We show that nonarbitrage prices of primitive assets are strict submartingales, whereas nonarbitrage prices of derivatives are supermartingales. Next we establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;511Endogenous collateralNon arbitrageEconomiaEquilíbrio econômicoEndogenous collateralinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1472.pdf1472.pdfapplication/pdf301821https://repositorio.fgv.br/bitstreams/6a99639a-b7df-4718-b4e8-81f69e5ab423/download5fe847299627c5c7aa6de9ca270b3bf5MD51TEXT1472.pdf.txt1472.pdf.txtExtracted texttext/plain68817https://repositorio.fgv.br/bitstreams/cd72f299-7207-4180-9c7a-51fd266bb4b5/download6c3d36a8c38191eeabca5342a4b6e481MD56THUMBNAIL1472.pdf.jpg1472.pdf.jpgGenerated Thumbnailimage/jpeg3148https://repositorio.fgv.br/bitstreams/46def23c-87eb-4d9e-976f-0e087fb45b1c/download9b06fbbf1fc447c11c96933f93d33991MD5710438/9952023-11-09 22:51:12.276open.accessoai:repositorio.fgv.br:10438/995https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T22:51:12Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Endogenous collateral
title Endogenous collateral
spellingShingle Endogenous collateral
Pascoa, Mario Rui
Endogenous collateral
Non arbitrage
Economia
Equilíbrio econômico
title_short Endogenous collateral
title_full Endogenous collateral
title_fullStr Endogenous collateral
title_full_unstemmed Endogenous collateral
title_sort Endogenous collateral
author Pascoa, Mario Rui
author_facet Pascoa, Mario Rui
Araújo, Aloísio Pessoa de
Barbachan, José Santiago Fajardo
author_role author
author2 Araújo, Aloísio Pessoa de
Barbachan, José Santiago Fajardo
author2_role author
author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Pascoa, Mario Rui
Araújo, Aloísio Pessoa de
Barbachan, José Santiago Fajardo
dc.subject.por.fl_str_mv Endogenous collateral
Non arbitrage
topic Endogenous collateral
Non arbitrage
Economia
Equilíbrio econômico
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Equilíbrio econômico
description We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by financial intermediaries is financed by selling back derivatives to consumers. We show that nonarbitrage prices of primitive assets are strict submartingales, whereas nonarbitrage prices of derivatives are supermartingales. Next we establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents.
publishDate 2003
dc.date.issued.fl_str_mv 2003-11-04
dc.date.accessioned.fl_str_mv 2008-05-13T15:45:50Z
dc.date.available.fl_str_mv 2008-05-13T15:45:50Z
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/995
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
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dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;511
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
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