scholarly journals Market Incompleteness and Super Value Additivity: Implications for Securitization

2003 ◽  
Author(s):  
Vishal Gaur ◽  
Sridhar Seshadri ◽  
Marti G. Subrahmanyam
Keyword(s):  
Market Incompleteness ◽  
Value Additivity

A Primer on Incomplete Markets

2019 ◽  
pp. 128-137
Author(s):  
Tomas Björk
Keyword(s):  
Incomplete Markets ◽  
Factor Model ◽  
Market Price ◽  
Market Price Of Risk ◽  
Market Incompleteness ◽  
Price Of Risk

We discuss market incompleteness within the relatively simple framework of a factor model. The corresponding pricing PDE is derived and we relate it to the market price of risk.

A Counterexample to Value Additivity

1989 ◽  
Vol 18 (3) ◽  
pp. 10 ◽  
Author(s):  
Edward M. Miller
Keyword(s):  
Value Additivity

The Response of Consumption to Income Risk

2017 ◽  
Author(s):  
Tullio Jappelli ◽  
Luigi Pistaferri
Keyword(s):  
Private Information ◽  
Null Hypothesis ◽  
Indirect Evidence ◽  
Precautionary Saving ◽  
Reduced Form ◽  
Research Strategies ◽  
Income Risk ◽  
Distribution Of Wealth ◽  
Market Incompleteness ◽  
Private Savings

Tests of the importance of precautionary saving follow several research strategies. One aims to find a variable (or set of variables) that can approximate the variance of the growth rate of consumption. A second strategy seeks to estimate a reduced form for the level of consumption and wealth with proxies for income risk. A third approach simulates the path of consumption and wealth in models with precautionary saving, matching simulations with the observed distribution of wealth and consumption. Other studies provide indirect evidence for or against the precautionary saving hypothesis. Finally, some papers test the null hypothesis of the precautionary saving model (or more generally, self-insurance), in which risks can only be insured via private savings, against specific alternatives in which researchers make the source of market incompleteness explicit (positing, for instance, that it is due to private information).

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