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Collateralized assets and asymmetric information. (English) Zbl 1151.91347

Summary: Introducing assets backed by physical collateral, we extend the B. Cornet and L. De Boisdeffre [J. Math. Econ. 38, No. 4, 393–410 (2002; Zbl 1024.91008)] model of asymmetric information to allow for default. We show that, independently of the financial-informational structure, equilibrium exists.

MSC:

91A12 Cooperative games
91A28 Signaling and communication in game theory
91B50 General equilibrium theory
91B26 Auctions, bargaining, bidding and selling, and other market models

Citations:

Zbl 1024.91008
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References:

[1] Aliprantis, C. D.; Border, K. C., Infinite Dimensional Analysis: A Hitchhiker’s Guide (1999), Springer: Springer Berlin Heidelberg New York · Zbl 0938.46001
[2] Araujo, A.; Páscoa, M. R.; Torres-Martínez, J. P., Collateral avoids Ponzi schemes in incomplete markets, Econometrica, 70, 1613-1638 (2002) · Zbl 1141.91389
[3] Cornet, B.; De Boisdeffre, L., Arbitrage and price revelation with asymmetric information and incomplete markets, Journal of Mathematical Economics, 38, 393-410 (2002) · Zbl 1024.91008
[4] Daher, W., Martins-da-Rocha, V.F., Páscoa, M., Vailakis, Y., 2006. Sequential Trading Without Perfect Foresight: The Role of Default and Collateral. Working paper FEUNL, Portugal.; Daher, W., Martins-da-Rocha, V.F., Páscoa, M., Vailakis, Y., 2006. Sequential Trading Without Perfect Foresight: The Role of Default and Collateral. Working paper FEUNL, Portugal.
[5] De Boisdeffre, L., No-arbitrage equilibria with differential information: an existence proof, Economic Theory, 31, 255-269 (2007) · Zbl 1129.91030
[6] Geanakoplos, J., Zame, W.R., 2002. Collateral and the Enforcement of Intertemporal Contracts. Yale University working paper.; Geanakoplos, J., Zame, W.R., 2002. Collateral and the Enforcement of Intertemporal Contracts. Yale University working paper.
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