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...
Gespeichert in:
| Hauptverfasser: | , , |
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| Dokumenttyp: | Buch/Monographie Arbeitspapier |
| Sprache: | Englisch |
| Veröffentlicht: |
München
CESifo
2014
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| Schriftenreihe: | CESifo working paper Empirical and theoretical methods
4602 |
| In: |
CESifo working papers (4602)
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| Schlagworte: | |
| Online-Zugang: | 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 
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| 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) 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. |
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| Beschreibung: | Online Resource |
| Dokumenttyp: | Systemvoraussetzungen: Acrobat Reader. |