This paper studies the welfare properties of competitive equilibria in an economy with
financial frictions hit by aggregate shocks. In particular, it shows that competitive financial …

We propose a model of delegated portfolio management with career concerns. Investors
hire fund managers to invest their capital either in risky bonds or in riskless assets. Some …

We present a general equilibrium model of intermediation designed to capture some of the
key features of the modern financial system. The model incorporates financial constraints …

Purpose–In recent years, the financial system has been changing rapidly. At the same time,
macroeconomic volatility has fallen in developed countries. The purpose of this paper is to …

Pledging collateral to secure loans is a prominent feature in financing contracts around the
world. Existing theories disagree on why borrowers pledge collateral. It is even more …

This paper examines the pricing issue of margin-call stock loans with finite maturities under
the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method …

We propose a model of defaultable debt where investors hire fund managers to invest their
capital in a risky bond or in a riskless asset. The risky bonds are issued by a large number of …

This article considers the lessons from the global financial crisis for redesigning the financial
system and its regulation to make the chance of future such crises lower. It focuses on three …

Prior to the Global Financial Crisis in 2008, securitization has been widely perceived as a
way to disperse credit risks, and to enhance financial system's capacity in dealing with …

Pledging collateral to secure loans is a prominent feature in financing contracts around the
world. Existing theories disagree on why borrowers pledge collateral. It is even more …