منابع مشابه
Securities market theory: Possession, repo and rehypothecation
By introducing repo markets we understand how agents need to borrow issued securities before shorting them: (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of securities as collateral allows agents to leverage their positions. A binding box constraint induces a li...
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We present a model of asset valuation in which short-selling is achieved by searching for security lenders and by bargaining over the terms of the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline over time. This price decline is to be anticipated, for example, after an initial public offering (IPO), among ...
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Contents 1 Abstract 2 2 Introduction 2 2. 1 Abstract We develop models to price long term loans in the securities lending business. These longer horizon deals can be viewed as contracts with optionality embedded in them and can be priced using established methods from derivatives theory, becoming to our limited knowledge, the first application that can lead to greater synergies between the oper...
متن کاملRepo Runs
This paper develops a model of financial institutions that borrow shortterm and invest into long-term marketable assets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We endogenize the profits of such intermediaries and derive distinct liquidity and collateral conditions that determine whether a run can be prevented. We examine the m...
متن کاملCollateral Circulation and Repo Spreads⇤
I develop a dynamic model of collateral circulation in a repo market, where a continuum of institutions borrow from and lend to one another against illiquid collateral. The model emphasizes an important tradeoff. On one hand, easier collateral circulation makes repos liquid and increases steady state investment through several multiplier effects, improving economic efficiency. On the other hand...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1976327