On securitization, market completion and equilibrium risk transfer
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More about this item
Keywords
Backward stochastic differential equations; dynamic risk measures; partial equilibrium; equilibrium pricing; market completion;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-03-20 (Banking)
- NEP-FMK-2010-03-20 (Financial Markets)
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