CEMAPRE Seminar | Securitization and equilibrium pricing under relative performance concerns

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

Abstract:

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.

More info: http://cemapre.iseg.ulisboa.pt/seminars/cemapre/