Martingale properties of self-enforcing debt

B-Tier
Journal: Economic Theory
Year: 2015
Volume: 60
Issue: 1
Pages: 35-57

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Not-too-tight debt limits are endogenous restrictions on debt that prevent agents from defaulting and opting for a specified continuation utility, while allowing for maximal credit expansion. For an agent facing some fixed prices for the Arrow securities, we prove that discounted not-too-tight debt limits must differ by a martingale. Copyright Springer-Verlag Berlin Heidelberg 2015

Technical Details

RePEc Handle
repec:spr:joecth:v:60:y:2015:i:1:p:35-57
Journal Field
Theory
Author Count
2
Added to Database
2026-01-24