The equilibrium with a systemic bank default
Equilibrium with default-dependent credit constraints
... general equilibrium model with assets in positive net supply subject to credit ...of default, the original promises made by the borrower and the amount of resources that was really ...
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Indeterminacy of competitive equilibrium with risk of default
... any equilibrium allocation is Malin- vaud efficient (First Welfare Theorem) and that any Malinvaud efficient allocation emerges as an equilibrium allocation for some distribution of initial claims across ...
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Credit default swaps and systemic risk
... 4 studies the impact of central clearing on the size of the illiquidity cascade. 2 Over-the-counter markets A bilateral over the counter (OTC) transaction is one in which two parties transact directly with each another, ...
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Equilibrium Bank Runs
... the bank as they arrive in period ...the bank can give her consumption in period 2, but use the information to a¤ect the period-1 consumption of consumers arriving later in the queue and reporting ...their ...
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General equilibrium with asymmetric information and default penalties
... general equilibrium theory under uncertainty, a growing attention has been given in recent years to issues such as the possibility of default in the payment of asset returns, or the existence of asymmetric ...
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Selecting a Unique Competitive Equilibrium with Default Penalties
... of equilibrium in economic ...general equilibrium economy non-strategically, we must accept default as a strategic possibility, then every society should have rules to handle such a ...these ...
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A Negishi’s Approach to Competitive Equilibrium with Risk of Default
... to default; debt limits immediately become tighter, responding to lower participation incentives, and interest rate falls to balance the reduced volume of ...
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Collateral, default penalties and infinite horizon equilibrium
... the equilibrium is refined, along the lines of the refinement in Dubey, Geanakoplos and Shubik (2005), as proposed by Martins da Rocha and Vailakis (2010), non-existence of equilibrium prevails for the ...
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General equilibrium with asymmetric information and default penalties
... an equilibrium existence result, this signaling mechanism cannot be too ...agent’s default penalties are, the more assets he or she will want to sell at any given ...lower default penalties will ...
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Equilibrium model with default and insider's dynamic information
... an equilibrium model ` a la Kyle-Back for a defaultable claim issued by a given ...the equilibrium price and the optimal insider’s ...the default time predictable in market’s view at the ...
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Equilibrium asset pricing with systemic risk
... the equilibrium pricing function in a regulated economy exhibits, as regulation becomes tighter, less depth and more volatility (the co- variance matrix is more positive ...endogenous equilibrium level of ...
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Credit Default Swaps (CDSs) and Systemic Risks
... Counterparty default exposure to simultaneous default by the reference entity and the protection seller (“double default”); (2) Counterparty replacement risk of default by the protection ...
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Credit default swaps networks and systemic risk
... Credit default swaps networks and systemic risk Puliga, Michelangelo ; Caldarelli, Guido ; Battiston, Stefano Abstract: Credit Default Swaps (CDS) spreads should reflect default risk of the ...
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Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks
... of systemic risk arising from what we call default ambiguity—that is, a situation where it is impossible to decide which banks are in ...in default and what percentage of their liabilities they can ...
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Default ambiguity: credit default swaps create new systemic risks in financial networks
... a bank A would not write a contract to a bank B directly, but rather bank A would write a contract to a highly capitalized central entity S and S would write a contract to bank ...against ...
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"Impaired Bank Health and Default Risk"
... close bank-firm ...main bank). The role of the main bank is particularly important during times of distress, when it changes the affiliated firm’s management and board directors (Kang and Shivdasani ...
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On the Properties of General Equilibrium with Default in Economies with Incomplete Markets
... in equilibrium between degrees of punishment, perception of fulfillment, promised returns and final position in a certain ...in equilibrium in that state is equal to ...in equilibrium, if there is ...
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Equilibrium sovereign default with endogenous exchange rate depreciation
... between default and trade disruption is important because empirical literature has often noted that sovereign default and currency crises — rapid exchange rate depreciation — strike ...sovereign ...
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A General Equilibrium Model of Sovereign Default and Business Cycles
... sovereigns default on private lenders–trade balances actually rise into surpluses, as shown in Figure ...altering default incentives signi…cantly, we assume that x t is perfectly correlated with TFP and ...
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A General Equilibrium Model of Sovereign Default and Business Cycles
... sovereigns default on private lenders–trade balances actually rise into surpluses, as shown in Figure ...altering default incentives signi…cantly, we assume that x t is perfectly correlated with TFP and ...
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