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Default and Exogenous Collateral in Incomplete Markets with a Continuum of States

  • Jaime Jose Orrillo Carhuajulca

    (Catholic University of Brasilia)

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File URL: http://fmwww.bc.edu/RePEc/es2000/1860.pdf
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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1860.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1860
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  1. John Geanakoplos & Pradeep Dubey, 1989. "Liquidity and Bankruptcy with Incomplete Markets: Pure Exchange," Cowles Foundation Discussion Papers 900, Cowles Foundation for Research in Economics, Yale University.
  2. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
  3. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
  4. Hellwig, Martin, 1996. "Rational expectations equilibria in sequence economies with symmetric information: The two-period case," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 9-49.
  5. John Geanakoplos, 1996. "Promises Promises," Cowles Foundation Discussion Papers 1143, Cowles Foundation for Research in Economics, Yale University.
  6. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
  7. Zame, William R, 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete," American Economic Review, American Economic Association, vol. 83(5), pages 1142-64, December.
  8. Mas-Colell, Andreu & Monteiro, Paulo K., 1996. "Self-fulfilling equilibria: An existence theorem for a general state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 51-62.
  9. Aloisio Ara�jo & Jaime Orrillo & Mario R. Páscoa, 2000. "Equilibrium with Default and Endogenous Collateral," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 1-21.
  10. Duffie, Darrell & Shafer, Wayne, 1985. "Equilibrium in incomplete markets: I : A basic model of generic existence," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 285-300, June.
  11. Duffie, Darrell, 1996. "Incomplete security markets with infinitely many states: An introduction," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 1-8.
  12. Werner, Jan, 1985. "Equilibrium in economies with incomplete financial markets," Journal of Economic Theory, Elsevier, vol. 36(1), pages 110-119, June.
  13. Duffie, Darrell & Shafer, Wayne, 1986. "Equilibrium in incomplete markets: II : Generic existence in stochastic economies," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 199-216, June.
  14. Paulo Klinger Monteiro, 1994. "A New Proof Of The Existence Of Equilibrium In Incomplete Markets Economies," GE, Growth, Math methods 9410001, EconWPA.
  15. Araujo, A. & Monteiro, P. K. & Páscoa, M.R., . "Incomplete markets, continuum of states and default," CORE Discussion Papers RP -1297, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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