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Screening with Securities

Nicolas Figueroa, Nicolas Inostroza   Apr 26,2023

Working Paper No.00097-00

A liquidity-constrained asset owner designs an asset-backed security to raise funds from an informed liquidity supplier. Information insensitive securities reduce... Read More

Designing Stress Scenarios

Thomas Philippon, Cecilia Parlatore   Apr 26,2022

Working Paper No.00074-00

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk... Read More

Designing Stress Scenarios

Thomas Philippon, Cecilia Parlatore   Apr 26,2022

Working Paper No.00074-00

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk... Read More

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

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

Working Paper No.00070-00

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

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

Working Paper No.00062-02

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

Demand Disagreement

Christian Heyerdahl-Larsen, Philipp Illeditsch   Dec 13,2019

Working Paper No.00058-00

We develop an overlapping generations model with disagreement about the cross-sectional distribution of investors’ preferences and beliefs. This disagreement implies... Read More