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Equilibrium asset pricing with systemic risk

✍ Scribed by Jón Daníelsson; Jean-Pierre Zigrand


Publisher
Springer
Year
2007
Tongue
English
Weight
362 KB
Volume
35
Category
Article
ISSN
0938-2259

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A model of dynamic equilibrium asset pri
✍ Suleyman Basak 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 244 KB

We study equilibrium security price dynamics in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We completely characterize equilibrium in terms of the economic primitives, via a representative agent with stochastic weights. Besides pricing f