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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.
"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."--World Book Industry
From the Back Cover
"Over-the-counter markets concern a large set of financial assets and received significant attention during the recent financial crisis. Darrell Duffie has been a key contributor to a promising new area of research that seeks to understand the behavior of these markets. His comprehensive, rigorous book will be very useful to all researchers interested in this important subject."--Dimitri Vayanos, London School of Economics and Political Science
"Dark Markets describes and models over-the-counter markets, with an emphasis on 'doing it right.' People apply the law of large numbers all the time, even when it is inappropriate. This book tells you when it is appropriate. Darrell Duffie is a giant in the field."--Ed Nosal, Federal Reserve Bank of Chicago
Product Details
- Series: Princeton Lectures in Finance
- Hardcover: 128 pages
- Publisher: Princeton University Press (January 8, 2012)
- Language: English
- ISBN-10: 0691138966
- ISBN-13: 978-0691138961
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