Journal ArticleDOI
General equilibrium in CLO markets
TLDR
In this paper, a two-period equilibrium model with securitization of collateral-backed promises is proposed, where borrowers may suffer extra economic default penalties and debts are pooled into collateralized loans obligations (CLO), allowing different seniority levels among tranches in a same CLO.About:
This article is published in Journal of Mathematical Economics.The article was published on 2007-08-01. It has received 23 citations till now. The article focuses on the topics: Securitization & Collateralized debt obligation.read more
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Collateral Equilibrium: A Basic Framework
TL;DR: In this paper, the authors build an extension of general equilibrium theory that incorporates durable goods, collateralized securities and the possibility of default to argue that the reliance on collateral to secure loans and the particular collateral requirements chosen by the social planner or by the market have a profound impact on prices, allocations, market structure and the efficiency of market outcomes.
Journal ArticleDOI
Collateral equilibrium, I: a basic framework
TL;DR: The authors argue that the reliance on collateral to secure loans and the particular collateral requirements chosen by the social planner or by the market have a profound impact on prices, allocations, market structure, and the efficiency of market outcomes.
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Collateralized Security Markets
John Geanakoplos,William R. Zame +1 more
TL;DR: The authors argue that the reliance on collateral to secure loans, the particular collateral requirements (chosen by the social planner or by the market), and the scarcity of collateral have a profound impact on prices, on allocations, on the structure of markets, and especially on the efficiency of market outcomes.
Journal ArticleDOI
Equilibrium with limited-recourse collateralized loans
TL;DR: In this paper, a general equilibrium model with limited-recourse collateralized loans and securitization of debts is presented, where each borrower is required to pledge physical collateral, and bankruptcy is filed against him if claims are not fully honored.
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The impossibility of effective enforcement mechanisms in collateralized credit markets
TL;DR: In this paper, the authors analyze the possibility of the simultaneous presence of three key features in price-taking credit markets: infinity horizon, collateralized credit operations and effective additional enforcement mechanisms, i.e., those implying payments besides the value of the collateral guarantees.
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Default and Punishment in General Equilibrium
TL;DR: In this article, the authors extend the standard model of general equilibrium with incomplete markets to allow for default and punishment by thinking of assets as pools, and show that refined equilibrium always exists in their model, and that default, in conjunction with refinement, opens the door to a theory of endogenous assets.
Journal ArticleDOI
An equilibrium existence theorem for a general model without ordered preferences
David Gale,Andreu Mas-Colell +1 more
TL;DR: In a recent paper as mentioned in this paper the second author has shown that some of the usual hypotheses on consumers' preferences are not needed for the proof of existence of a Walrasian general equilibrium.
Journal ArticleDOI
Default and punishment in general equilibrium
TL;DR: In this paper, the authors extend the standard model of general equilibrium with incomplete markets to allow for default and punishment by thinking of assets as pools, and show that refined equilibrium always exists in their model, and that default, in conjunction with refinement, opens the door to a theory of endogenous assets.
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Efficiency and the Role of Default When Security Markets are Incomplete
TL;DR: The authors argued that default plays an important positive role in the economy and that default promotes efficiency in a way that opening new markets does not by making it possible for traders to enter into contracts that they will be able to execute with high probability but not with certainty.