Endogenous collateral: arbitrage and equilibrium without bounded short sales
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/799 |
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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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 |
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/10438/799 |
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 |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;418 |
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 |
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