Endogenous collateral: arbitrage and equilibrium without bounded short sales

Detalhes bibliográficos
Autor(a) principal: Pascoa, Mario Rui
Data de Publicação: 2001
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/10438/799
Resumo: 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.
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spelling Pascoa, Mario RuiAraújo, Aloísio Pessoa deBarbachan, José Santiago FajardoEscolas::EPGEFGV2008-05-13T15:34:53Z2010-09-23T18:58:04Z2008-05-13T15:34:53Z2010-09-23T18:58:04Z2001-05-010104-8910http://hdl.handle.net/10438/799We 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.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;418Endogenous collateralNon arbitrageEconomiaEconomiaEquilíbrio econômicoEndogenous collateral: arbitrage and equilibrium without bounded short salesinfo: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/openAccessTHUMBNAIL1269.pdf.jpg1269.pdf.jpgGenerated Thumbnailimage/jpeg4393https://repositorio.fgv.br/bitstreams/b1000cf0-dd02-4c27-8c72-f602a061704f/download48a7252bd7399dfaed18037671f34821MD58ORIGINAL1269.pdfapplication/pdf432920https://repositorio.fgv.br/bitstreams/a74b3c58-2be4-44ff-b8ae-adf4aa9b3d3a/download2b2b0e6f16c4f8f9a72139822277ca8dMD52TEXT1269.pdf.txt1269.pdf.txtExtracted texttext/plain73620https://repositorio.fgv.br/bitstreams/d18a3a4c-b305-4f27-984c-6d3b4c92aac2/download214eb5c85ecd516bf56bd4b50e3e4fafMD5710438/7992023-11-08 20:10:29.127open.accessoai:repositorio.fgv.br:10438/799https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T20:10:29Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Endogenous collateral: arbitrage and equilibrium without bounded short sales
title Endogenous collateral: arbitrage and equilibrium without bounded short sales
spellingShingle Endogenous collateral: arbitrage and equilibrium without bounded short sales
Pascoa, Mario Rui
Endogenous collateral
Non arbitrage
Economia
Economia
Equilíbrio econômico
title_short Endogenous collateral: arbitrage and equilibrium without bounded short sales
title_full Endogenous collateral: arbitrage and equilibrium without bounded short sales
title_fullStr Endogenous collateral: arbitrage and equilibrium without bounded short sales
title_full_unstemmed Endogenous collateral: arbitrage and equilibrium without bounded short sales
title_sort Endogenous collateral: arbitrage and equilibrium without bounded short sales
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
Economia
Equilíbrio econômico
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
Equilíbrio econômico
description 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.
publishDate 2001
dc.date.issued.fl_str_mv 2001-05-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:34:53Z
2010-09-23T18:58:04Z
dc.date.available.fl_str_mv 2008-05-13T15:34:53Z
2010-09-23T18:58:04Z
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/799
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/799
dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;418
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
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dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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