scholarly journals Information Disclosure, Intertemporal Risk Sharing, and Asset Prices

2010 ◽  
Author(s):  
Tri Vi Dang ◽  
Hendrik Hakenes
Keyword(s):  
Information Disclosure ◽  
Risk Sharing ◽  
Asset Prices

scholarly journals Variation margins, fires sales, and information-constrained optimality

2020 ◽  
Author(s):  
Bruno Biais ◽  
Florian Heider ◽  
Marie Hoerova
Keyword(s):  
Moral Hazard ◽  
Risk Sharing ◽  
Asset Prices ◽  
Counterparty Risk ◽  
Fire Sales ◽  
Risk Protection ◽  
Incentive Constraints

Abstract In order to share risk, protection buyers trade derivatives with protection sellers. Protection sellers’ actions affect the riskiness of their assets, which can create counterparty risk. Because these actions are unobservable, moral hazard limits risk sharing. To mitigate this problem, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate some assets, depressing asset prices. This tightens the incentive constraints of other protection sellers and reduces their ability to provide insurance. Despite this fire-sale externality, equilibrium is information-constrained efficient. Investors, who benefit from buying assets at fire-sale prices, optimally supply insurance against the risk of fire sales.

scholarly journals Asset Prices and Risk Sharing in Open Economies

2016 ◽  
Vol 30 (2) ◽  
pp. 363-415 ◽  
Author(s):  
Andreas Stathopoulos
Keyword(s):  
Risk Sharing ◽  
Asset Prices ◽  
Open Economies

SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS

2008 ◽  
Vol 11 (05) ◽  
pp. 415-445 ◽  
Author(s):  
S. Z. XANTHOPOULOS ◽  
A. N. YANNACOPOULOS
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing ◽  
Asset Prices ◽  
Incomplete Market ◽  
The Other ◽  
Market Game ◽  
Price Determination ◽  
Trinomial Model ◽  
Utility Pricing

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.

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