Dark markets : asset pricing and information transmission in over-the-counter markets / / Darrell Duffie

• Autore: Duffie Darrell
• Pubblicazione: Princeton, : Princeton University Press, c2012
• Edizione: Course Book
• Descrizione fisica: 1 online resource (114 p.)
• Disciplina: 332.64/3
• Soggetto topico: Over-the-counter markets; Capital assets pricing model
• Soggetto non controllato: Bellman's principle; OTC market; OTC trades; asset pricing; credit risk; debt; derivatives; equilibrium bargaining; equilibrium search; federal funds market; federal loans; global financial crisis; information exchange; interbank market; intraday allocation; large numbers; market opaqueness; over-the-counter market; percolation; posterior beliefs; private information; random matching; repurchase; search models; supply shocks; trading; transparency
• Note generali: Includes index.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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
• Sommario/riassunto: 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 in this field. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time. This book also features appendixes containing methodologies supporting the more theory-oriented of the chapters, making this the most self-contained introduction to OTC markets available.
• Titolo autorizzato: Dark markets
• ISBN: 1-283-33986-2; 9786613339867; 1-4008-4051-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910826652303321
• Lo trovi qui: Univ. Federico II
• Serie: Princeton lectures in finance.