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Negative Asset Pricing and Moral Hazard

In: The CME Vulnerability The Impact of Negative Oil Futures Trading

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  • Weiping Li

Abstract

We discuss the Fundamental Theorem of Asset Pricing (FTAP) in a model-free discrete time setting to emphasize the credit constraints. Negative asset pricing breaks the credit limitations to collapse the FTAP. The credit constraints and moral hazard are not only for market buyers and sellers, but also for market makers.

Suggested Citation

  • Weiping Li, 2020. "Negative Asset Pricing and Moral Hazard," World Scientific Book Chapters, in: George Xianzhi Yuan (ed.), The CME Vulnerability The Impact of Negative Oil Futures Trading, chapter 10, pages 197-214, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811223204_0010
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    More about this item

    Keywords

    CME; Vulnerability; WTI; Oil; Trading; Rule; 420; Negative Trading Price; Best Practice; Valuation; Risk Management; Regulatory; Rule; Accounting; Standard; Fair Value; Trading Behaviour; Covid; Corona;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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