Endogenous collateral
Autor(a) principal: | |
---|---|
Data de Publicação: | 2003 |
Outros Autores: | , |
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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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 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
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 |
url |
http://hdl.handle.net/10438/995 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;511 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
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