General equilibrium in CLO markets |
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| Authors: | Mariano Steinert Juan Pablo Torres-Martínez |
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| Institution: | 1. Banco BBM, Praça Pio X 98 6.o andar, 20091-040 Rio de Janeiro, Brazil;2. Department of Economics, Pontifical Catholic University of Rio de Janeiro, PUC-Rio, Rua Marquês de São Vicente 225, 22453-900 Rio de Janeiro, Brazil |
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| Abstract: | We address a two-period equilibrium model with securitization of collateral-backed promises. Borrowers may suffer extra-economic default penalties and debts are pooled into collateralized loans obligations (CLO), allowing different seniority levels among tranches in a same CLO. |
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| Keywords: | D52 D91 |
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