Banks and credit derivatives in a general equilibrium model with incomplete markets and default

AUTOR(ES)
DATA DE PUBLICAÇÃO

2010

RESUMO

We developed a general equilibrium model with incomplete markets and default to study in which conditions banks could appear/be formed. To the banking system be formed endogenously, our model integrate the works of Zame (2007) and Dubey, Geanakoplos e Shubik (2005). The dynamic of the model is the following: the set of Banks or Financial Intermediaries that form, the contractual arrangements that appear (wages and payments contractual), the assignments (roles) of agents to bank, the intermediation prices (lending/borrowing money) faced by banks for trading, the price of commodities, the incentives to agents and forward looking of default rate are all determined endogenously at equilibrium. Agents choose which banks to work, which roles to occupy in those banks, and which actions to take in those roles. Beside they also choose consumption, how much to borrow or lend in the banking system, and deliveries at second period. The model accommodates moral hazard and adverse selection within the inner structure of bank. We proved the equilibrium exists. In second work, we developed a new approach to an economy with problems of the ownership rights on assets backed by collaterals. To deal with this issue, we introduce credit derivatives structure in a GEI model. We proof the existence of equilibrium by combining the demand approach and no-arbitrage prices in this new market.

ASSUNTO(S)

incomplete markets banking system credit derivatives economia contratos perda contracts derivativos de crédito default sistema bancário mercados incompletos

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