Product Market Competition and Collateralized Debt
نویسندگان
چکیده
منابع مشابه
1 Debt , Investment , and Product Market Competition
Texas at Austin. All remaining errors are of course my own. Comments are welcome.
متن کاملDebt, Investment, and Product Market Competition
All remaining errors are of course my own. Comments welcome.
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This article describes a model that appropriately treats the incompletemarket aspects of collateralized debt obligations (CDO’s). The model is a term-structure model that can be calibrated so that it precisely reproduces, in terms of a single set of model parameters, the market values of the prices of contracts on a number of different tranches and having a number of different maturities for ea...
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Collateralized debt obligations, which are are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stocha...
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How does competition in a firm's product market affect the behavior of its stock? We examine this question in a noisy rational expectations economy in which firms operate under monopolistic competition. Production is subject to productivity shocks and requires capital, raised on a perfectly competitive equity market. Investors observe firms' past profits and collect private information about th...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2097884