TY - BOOK ID - 14267651 TI - Dark markets : asset pricing and information transmission in over-the-counter markets PY - 2012 SN - 1283339862 9786613339867 1400840511 0691138966 9781400840519 9780691138961 9781283339865 6613339865 PB - Princeton : Princeton University Press, DB - UniCat KW - Over-the-counter markets. KW - Capital assets pricing model. KW - Capital asset pricing model KW - CAPM (Capital assets pricing model) KW - Pricing model, Capital assets KW - OTC markets KW - Over-the-counter securities KW - Unlisted securities markets KW - Capital KW - Finance KW - Investments KW - Securities KW - Mathematical models KW - Over-the-counter markets KW - Capital assets pricing model KW - E-books KW - Bellman's principle. KW - OTC market. KW - OTC trades. KW - asset pricing. KW - credit risk. KW - debt. KW - derivatives. KW - equilibrium bargaining. KW - equilibrium search. KW - federal funds market. KW - federal loans. KW - global financial crisis. KW - information exchange. KW - interbank market. KW - intraday allocation. KW - large numbers. KW - market opaqueness. KW - over-the-counter market. KW - percolation. KW - posterior beliefs. KW - private information. KW - random matching. KW - repurchase. KW - search models. KW - supply shocks. KW - trading. KW - transparency. UR - https://www.unicat.be/uniCat?func=search&query=sysid:14267651 AB - 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. ER -