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Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Johan Hombert, Bruno Biais , Pierre-Olivier Weill   Mar 29,2021

Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such... Read More

Strategic Fragmented Markets

Ana Babus , Cecilia Parlatore   Apr 30,20210

We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Apr 30,2021

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Endogenous Specialization and Dealer Networks

Batchimeg Sambalaibat   Jul 07,2021

We build a directed search model of network formation. We propose that a core-periphery interdealer network arises from dealer specialization. Read More

A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More

Model Secrecy and Stress Tests

Basil Williams , Yaron Leitner   Aug 29,2020

We study whether regulators should reveal the models they use to stress test banks. In our setting, revealing leads to... Read More

Monitor Reputation and Transparency

Ivan Marinovic , Martin Szydlowski   Sep 22,2020

We study the disclosure policy of a regulator overseeing a monitor with reputation concerns, such as a bank or... Read More

Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Oct 08,2020

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More

Inventory Management, Dealers' Connections, and Prices in OTC Markets

Thierry Foucault,Peter Hoffmann, Jean-Edouard Colliard   Oct 08,2020

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among... Read More

Asset Dissemination through Dealer Markets

Gabrielle Demange, Jean-Edouard Colliard   Oct 08,2020

In over-the-counter markets for assets such as bonds or securitizations, large volumes can be split into smaller pieces and gradually... Read More