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CEMAPRE Seminar | Securitization and equilibrium pricing under relative performance concerns

08 Out 11:00
Sala Unicre, Quelhas

Speaker: Gonçalo Reis – School of Mathematics, University of Edinburgh, UK



We investigate the effects of a finite set of agents interacting socially in an equilibrium pricing
mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an

equilibrium framework by agents who assess risk using convex dynamic risk measures expressed by

Backward Stochastic Differential Equations (BSDE). An agent is not only exposed to financial and nonfinancial

risk factors, but he also faces performance concerns with respect to the other agents. The

equilibrium analysis leads to systems of fully coupled multi-dimensional quadratic BSDEs.
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