Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral
Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral
| dc.creator | Orrilo, Jaime | |
| dc.date | 2006-05-01 | |
| dc.date.accessioned | 2022-11-03T21:17:55Z | |
| dc.date.available | 2022-11-03T21:17:55Z | |
| dc.identifier | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2501 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5047723 | |
| dc.description | The existence of equilibria in a GEI model with default where short sales are backed by collateral (henceforth: exogenous collateral economy), has been demonstrated by Geanakoplos and Zame in a 2002 version of their paper (“Collateral, Default and Market Crashes”). On the other hand, Araújo et al. (2005) have recently provided a character- ization, via non arbitrage, of prices of defaultable assets backed by collateral. The aim of this paper is to provide an alternative proof of the existence of equilibria in an exoge- nous collateral economy by combining the demand approach used by Geanakoplos and Zame, and the characterization of collateralized asset prices offered by Araújo, Fajardo and Pascoa. | en-US |
| dc.description | The existence of equilibria in a GEI model with default where short sales are backed by collateral (henceforth: exogenous collateral economy), has been demonstrated by Geanakoplos and Zame in a 2002 version of their paper (“Collateral, Default and Market Crashes”). On the other hand, Araújo et al. (2005) have recently provided a character- ization, via non arbitrage, of prices of defaultable assets backed by collateral. The aim of this paper is to provide an alternative proof of the existence of equilibria in an exoge- nous collateral economy by combining the demand approach used by Geanakoplos and Zame, and the characterization of collateralized asset prices offered by Araújo, Fajardo and Pascoa. | pt-BR |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Sociedade Brasileira de Econometria | en-US |
| dc.relation | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2501/1484 | |
| dc.source | Brazilian Review of Econometrics; Vol. 26 No. 1 (2006); 155-170 | en-US |
| dc.source | Brazilian Review of Econometrics; v. 26 n. 1 (2006); 155-170 | pt-BR |
| dc.source | 1980-2447 | |
| dc.title | Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral | en-US |
| dc.title | Another Proof of the Existence of GEI Equilibrium with Default and Exogenous Collateral | pt-BR |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |