Credit risk in general equilibrium
This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equili...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
14 June 2014
|
| In: |
Economic theory
Year: 2014, Jahrgang: 57, Heft: 2, Pages: 407-435 |
| ISSN: | 1432-0479 |
| DOI: | 10.1007/s00199-014-0822-2 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1007/s00199-014-0822-2
|
| Verfasserangaben: | Jürgen Eichberger, Klaus Rheinberger, Martin Summer |
| Zusammenfassung: | This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equilibrium model with financial markets. Borrowers may default in equilibrium and returns on loans are determined endogenously. Restricted to a special form of mean variance preferences, we derive a version of the capital asset pricing model with bankruptcy. In this case, we can characterize equilibrium prices and allocations and discuss implications for credit risk modeling. |
|---|---|
| Beschreibung: | Gesehen am 17.07.2020 |
| Beschreibung: | Online Resource |
| ISSN: | 1432-0479 |
| DOI: | 10.1007/s00199-014-0822-2 |