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Record Nr. |
UNINA9910457897503321 |
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Autore |
Duffie Darrell |
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Titolo |
Dark markets [[electronic resource] ] : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie |
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Pubbl/distr/stampa |
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Princeton, : Princeton University Press, c2012 |
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ISBN |
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1-283-33986-2 |
9786613339867 |
1-4008-4051-1 |
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Edizione |
[Course Book] |
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Descrizione fisica |
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1 online resource (114 p.) |
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Collana |
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Princeton lectures in finance |
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Disciplina |
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Soggetti |
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Over-the-counter markets |
Capital assets pricing model |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
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Sommario/riassunto |
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Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects |
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