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) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equil...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
München
CESifo
2014
|
| Series: | CESifo working paper Empirical and theoretical methods
4602 |
| In: |
CESifo working papers (4602)
|
| Subjects: | |
| Online Access: | Verlag, Volltext: http://www.cesifo-group.de/ifoHome/publications/working-papers/CESifoWP/CESifoWPdetails?wp_id=19106185 Download aus dem Internet, Stand: 30.01.2014, Volltext: http://hdl.handle.net/10419/93409 
|
| Author Notes: | Jürgen Eichberger; Klaus Rheinberger; Martin Summer |
| Summary: | This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) which 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. |
|---|---|
| Physical Description: | Online Resource |
| Format: | Systemvoraussetzungen: Acrobat Reader. |