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Projeto de investigação
Leveraged Bubbles, Credit Squeezes and Prudential Investments
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Publicações
Determinants of repo haircuts and bankruptcy
Publication . Bottazzi, Jean-Marc; Páscoa, Mário Rui; Ramírez, Guillermo
Variations in repo haircuts play a crucial role in leveraging (or deleveraging) in security
markets, as observed in the two major economic events that happened so far in this century,
the US housing bubble that burst into the great recession and the European sovereign debts
episode. Repo trades are secured but recourse loans. Default triggers insolvency. Collateral
may be temporarily exempt from automatic stay but creditors' final reimbursement depends
on the bankruptcy outcome. We show examples of bankruptcy equilibria. We infer how
haircuts are related to asset or counterparty risks whenever a bankruptcy equilibrium exists.
General equilibrium essays on securities financing transactions
Publication . Hunter, Guillermo; Páscoa, Mário
This dissertation studies different aspects of Securities Financing Transactions (SFT). The
first chapter addresses the impact of repo margins on security prices. It is shown that when
the agents leveraging their positions are short sellers, prices rise as margins go up. The second
chapter studies how repo margins are determined in a model allowing for bankruptcy. The
third chapter discusses shareholders' unanimity under market incompleteness when shares can
be short sold. For a firm that is perfectly competitive both in the securities market and in the
SFT market (a securities lending market), shareholders unanimously agree on maximizing firm's
present value.
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Entidade financiadora
Fundação para a Ciência e a Tecnologia
Programa de financiamento
3599-PPCDT
Número da atribuição
PTDC/IIM-ECO/5360/2012