منابع مشابه
Collateral, default penalties and infinite horizon equilibrium
Páscoa and Seghir (2009) noticed that when collateralized promises become subject to utility penalties on default, Ponzi schemes may occur. However, equilibrium exists in some interesting cases. Under low penalties, equilibrium exists if the collateral does not yield utility (for example, when it is a productive asset or a security). Equilibrium exists also under more severe penalties and colla...
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The analyses, opinions and findings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal. In this paper we study the implications of the absence of statistical arbitrage opportunities (SAO) in a two-period incomplete market economy where default is allowed but there are collateral requirements. We study the existence of state price deflator...
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* This is a substantially revised version of the first draft which circulated under the same title. The data set was generated as a part of the Center for Financial Studies' research project on credit management in Ger-many. Tilburg. Of course, we alone are responsible for all remaining errors. Abstract This paper provides new insights into the nature of relationship lending by analyzing the ro...
متن کاملCollateral, default penalties and almost finite-time solvency
We argue that it is possible to adapt the approach of imposing restrictions on available plans through finitely effective debt constraints, introduced by Levine and Zame (1996), to encompass models with default and collateral. Along this line, we introduce in the setting of Araujo, Páscoa and TorresMart́ınez (2002) and Páscoa and Seghir (2008) the concept of almost finite-time solvency. We show ...
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Copyright © 2006 R ecently, an unusually high number of firms in the economy defaulted, with the default rate for Moody’s-rated speculativegrade issuers reaching as high as 10.2% in 2001. In their annual review, Moody’s summarized these credit events as follows, “Record defaults —unmatched in number and dollar volume since the Great Depression—have culminated in the bankruptcies of well-known f...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2208755