International Risk Sharing, Investment Restrictions and Asset Prices

2007 ◽  
Author(s):  
Issouf Soumaré ◽  
Tan Wang
Keyword(s):  
Risk Sharing ◽  
Asset Prices ◽  
International Risk Sharing

scholarly journals Securitization of Mortgage Debt, Asset Prices and International Risk Sharing

2008 ◽  
Author(s):  
Mathias Hoffmann ◽  
Thomas Nitschka
Keyword(s):  
Risk Sharing ◽  
Asset Prices ◽  
International Risk Sharing ◽  
Mortgage Debt

scholarly journals Securitization of Mortgage Debt, Asset Prices and International Risk Sharing

2009 ◽  
Author(s):  
Mathias Hoffmann ◽  
Thomas Nitschka
Keyword(s):  
Risk Sharing ◽  
Asset Prices ◽  
International Risk Sharing ◽  
Mortgage Debt

Do Lack of Transparency and Enforcement Undermine International Risk-Sharing?

2005 ◽  
Author(s):  
Elizabeth Asiedu ◽  
Yi Jin ◽  
Anne P. Villamil
Keyword(s):  
Risk Sharing ◽  
International Risk Sharing

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.

International risk-sharing and non-traded goods

1993 ◽  
Vol 35 (1-2) ◽  
pp. 69-89 ◽  
Author(s):  
Linda L. Tesar
Keyword(s):  
Risk Sharing ◽  
International Risk Sharing ◽  
Traded Goods

scholarly journals The International Risk-Sharing Puzzle is at Business-Cycle and Lower Frequency

2012 ◽  
Author(s):  
Giancarlo Corsetti ◽  
Luca Dedola ◽  
Francesca Viani
Keyword(s):  
Business Cycle ◽  
Risk Sharing ◽  
International Risk Sharing
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