TY  - BOOK
AU  - Duffie,Darrell
TI  - Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets 
T2  - Princeton Lectures in Finance
SN  - 9780691138961
AV  - HG4521 
U1  - 332.643 23
PY  - 2011///]
CY  - Princeton, NJ : 
PB  - Princeton University Press, 
KW  - Capital assets pricing model
KW  - Over-the-counter markets
KW  - BUSINESS & ECONOMICS / Finance / General
KW  - bisacsh
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
N1  - Frontmatter --; Contents --; Tables --; Figures --; Preface --; Chapter 1. Over-the- Counter Markets --; Chapter 2. The Case of Federal Funds Lending --; Chapter 3. Search for Counterparties --; Chapter 4. A Simple OTC Pricing Model --; Chapter 5 Information Percolation in OTC Markets --; Appendix A. Foundations for Random Matching --; Appendix B. Counting Processes --; Bibliography --; Index; restricted access; Issued also in print
N2  - 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
UR  - https://doi.org/10.1515/9781400840519?locatt=mode:legacy
UR  - https://www.degruyter.com/isbn/9781400840519
UR  - https://www.degruyter.com/cover/covers/9781400840519.jpg
ER  -