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 |
MARC
| LEADER | 00000caa a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 1725056690 | ||
| 003 | DE-627 | ||
| 005 | 20251001103356.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 200717s2014 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1007/s00199-014-0822-2 |2 doi | |
| 035 | |a (DE-627)1725056690 | ||
| 035 | |a (DE-599)KXP1725056690 | ||
| 035 | |a (OCoLC)1341345609 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a 17 |2 sdnb | ||
| 100 | 1 | |a Eichberger, Jürgen |d 1952- |e VerfasserIn |0 (DE-588)129508292 |0 (DE-627)470648538 |0 (DE-576)160838681 |4 aut | |
| 245 | 1 | 0 | |a Credit risk in general equilibrium |c Jürgen Eichberger, Klaus Rheinberger, Martin Summer |
| 264 | 1 | |c 14 June 2014 | |
| 300 | |a 29 | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 500 | |a Gesehen am 17.07.2020 | ||
| 520 | |a 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. | ||
| 650 | 4 | |a Credit risk | |
| 650 | 4 | |a Endogenous risk | |
| 650 | 4 | |a Bankruptcy | |
| 700 | 1 | |a Rheinberger, Klaus |e VerfasserIn |0 (DE-588)1018086137 |0 (DE-627)679958258 |0 (DE-576)354977547 |4 aut | |
| 700 | 1 | |a Summer, Martin |e VerfasserIn |0 (DE-588)171349008 |0 (DE-627)061540803 |0 (DE-576)132149702 |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t Economic theory |d Berlin : Springer, 1991 |g 57(2014), 2, Seite 407-435 |h Online-Ressource |w (DE-627)235503665 |w (DE-600)1398355-6 |w (DE-576)061936103 |x 1432-0479 |7 nnas |a Credit risk in general equilibrium |
| 773 | 1 | 8 | |g volume:57 |g year:2014 |g number:2 |g pages:407-435 |g extent:29 |a Credit risk in general equilibrium |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Eichberger, Jürgen, 1952 - |t Credit risk in general equilibrium |d 2014 |w (DE-627)807051985 |w (DE-576)9807051983 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s00199-014-0822-2 |x Verlag |x Resolving-System |z lizenzpflichtig |3 Volltext |
| 951 | |a AR | ||
| 992 | |a 20200717 | ||
| 993 | |a Article | ||
| 994 | |a 2014 | ||
| 998 | |g 129508292 |a Eichberger, Jürgen |m 129508292:Eichberger, Jürgen |d 180000 |d 181000 |e 180000PE129508292 |e 181000PE129508292 |k 0/180000/ |k 1/180000/181000/ |p 1 |x j | ||
| 999 | |a KXP-PPN1725056690 |e 3725433259 | ||
| BIB | |a Y | ||
| SER | |a journal | ||
| JSO | |a {"person":[{"family":"Eichberger","display":"Eichberger, Jürgen","given":"Jürgen","role":"aut"},{"given":"Klaus","role":"aut","display":"Rheinberger, Klaus","family":"Rheinberger"},{"family":"Summer","display":"Summer, Martin","given":"Martin","role":"aut"}],"language":["eng"],"note":["Gesehen am 17.07.2020"],"type":{"media":"Online-Ressource","bibl":"article-journal"},"origin":[{"dateIssuedKey":"2014","dateIssuedDisp":"14 June 2014"}],"title":[{"title_sort":"Credit risk in general equilibrium","title":"Credit risk in general equilibrium"}],"recId":"1725056690","name":{"displayForm":["Jürgen Eichberger, Klaus Rheinberger, Martin Summer"]},"physDesc":[{"extent":"29 S."}],"relHost":[{"disp":"Credit risk in general equilibriumEconomic theory","language":["eng"],"note":["Gesehen am 19.02.09"],"origin":[{"publisherPlace":"Berlin ; Heidelberg ; New York","dateIssuedDisp":"1991-","publisher":"Springer","dateIssuedKey":"1991"}],"title":[{"title":"Economic theory","title_sort":"Economic theory"}],"type":{"media":"Online-Ressource","bibl":"periodical"},"part":{"issue":"2","pages":"407-435","text":"57(2014), 2, Seite 407-435","year":"2014","volume":"57","extent":"29"},"pubHistory":["1.1991 -"],"recId":"235503665","physDesc":[{"extent":"Online-Ressource"}],"id":{"issn":["1432-0479"],"eki":["235503665"],"zdb":["1398355-6"]}}],"id":{"eki":["1725056690"],"doi":["10.1007/s00199-014-0822-2"]}} | ||
| SRT | |a EICHBERGERCREDITRISK1420 | ||