Endogenous collateral
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 s...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2003 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.fgv.br:10438/995 |
| Acceso en línea: | http://hdl.handle.net/10438/995 |
| Access Level: | acceso abierto |
| Palabra clave: | Endogenous collateral Non arbitrage Economia Equilíbrio econômico |
| Sumario: | 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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