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Credit risk in general equilibrium

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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...

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Bibliographische Detailangaben
Hauptverfasser: Eichberger, Jürgen (VerfasserIn) , Rheinberger, Klaus (VerfasserIn) , Summer, Martin (VerfasserIn)
Dokumenttyp: Buch/Monographie Arbeitspapier
Sprache:Englisch
Veröffentlicht: München CESifo 2014
Schriftenreihe:CESifo working paper Empirical and theoretical methods 4602
In: CESifo working papers (4602)

Schlagworte:
Arbeitspapier
Graue Literatur
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
Volltext
Verfasserangaben:Jürgen Eichberger; Klaus Rheinberger; Martin Summer

MARC

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520 |a 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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