Optimal margins and equilibrium prices
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References listed on IDEAS
- Gromb, Denis & Vayanos, Dimitri, 2002.
"Equilibrium and welfare in markets with financially constrained arbitrageurs,"
Journal of Financial Economics,
Elsevier, vol. 66(2-3), pages 361-407.
- Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
- Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," LSE Research Online Documents on Economics 448, London School of Economics and Political Science, LSE Library.
- Fleming, Michael J. & Sarkar, Asani, 2013. "The failure resolution of Lehman Brothers," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 175-206.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
More about this item
KeywordsInsurance; Derivatives; Moral hazard; Risk-management; Margin requirements; Contagion; Fire-sales;
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-COM-2017-07-09 (Industrial Competition)
- NEP-CTA-2017-07-09 (Contract Theory & Applications)
- NEP-IAS-2017-07-09 (Insurance Economics)
- NEP-MIC-2017-07-09 (Microeconomics)
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