Dark Markets : : Asset Pricing and Information Transmission in Over-the-Counter Markets /

Dark Markets : : Asset Pricing and Information Transmission in Over-the-Counter Markets / / Darrell Duffie.

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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...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
VerfasserIn:
Duffie, Darrell,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2011]
©2012
Year of Publication:2011
Edition:Course Book
Language:English
Series:Princeton Lectures in Finance ; 6
Online Access:
Physical Description:1 online resource (128 p.) :; 5 line illus. 5 tables.
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245 1 0 |a Dark Markets :  |b Asset Pricing and Information Transmission in Over-the-Counter Markets /  |c Darrell Duffie. 
250 |a Course Book 
264 1 |a Princeton, NJ :   |b Princeton University Press,   |c [2011] 
264 4 |c ©2012 
300 |a 1 online resource (128 p.) :  |b 5 line illus. 5 tables. 
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490 0 |a Princeton Lectures in Finance ;  |v 6 
505 0 0 |t Frontmatter --   |t Contents --   |t Tables --   |t Figures --   |t Preface --   |t Chapter 1. Over-the- Counter Markets --   |t Chapter 2. The Case of Federal Funds Lending --   |t Chapter 3. Search for Counterparties --   |t Chapter 4. A Simple OTC Pricing Model --   |t Chapter 5 Information Percolation in OTC Markets --   |t Appendix A. Foundations for Random Matching --   |t Appendix B. Counting Processes --   |t Bibliography --   |t Index 
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520 |a 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. 
530 |a Issued also in print. 
538 |a Mode of access: Internet via World Wide Web. 
546 |a In English. 
588 0 |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) 
650 0 |a Capital assets pricing model. 
650 0 |a Over-the-counter markets. 
650 7 |a BUSINESS & ECONOMICS / Finance / General.  |2 bisacsh 
653 |a Bellman's principle. 
653 |a OTC market. 
653 |a OTC trades. 
653 |a asset pricing. 
653 |a credit risk. 
653 |a debt. 
653 |a derivatives. 
653 |a equilibrium bargaining. 
653 |a equilibrium search. 
653 |a federal funds market. 
653 |a federal loans. 
653 |a global financial crisis. 
653 |a information exchange. 
653 |a interbank market. 
653 |a intraday allocation. 
653 |a large numbers. 
653 |a market opaqueness. 
653 |a over-the-counter market. 
653 |a percolation. 
653 |a posterior beliefs. 
653 |a private information. 
653 |a random matching. 
653 |a repurchase. 
653 |a search models. 
653 |a supply shocks. 
653 |a trading. 
653 |a transparency. 
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