Asset Pricing in Models with incomplete markets and default

Felix Kubler Karl Schmedders
Authors registered in the RePEc Author Service: Felix Kubler and Karl Schmedders

No 58, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: We consider an infinite horizon exchange economy with incomplete markets and default. As in Geanakoplos and Zame (1998) financial securities are traded if the promises associated with them are backed by collateral. The only collateral available in our economy are shares of Lucas trees. We prove that equilibria always exist and develeop an algorithm to approximate them numerically

Keywords: incomplete markets; collateral; asset pricing (search for similar items in EconPapers)
JEL-codes: C63 D52 G12 (search for similar items in EconPapers)
Date: 2001-04-01
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Citations: View citations in EconPapers (11)

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