Arbeitspapier
Equilibrium with default-dependent credit constraints
We state an infinite horizon sequential markets model with real assets in positive net supply and subject to credit risk. By introducing default-dependent borrowing constraints, we show the existence of equilibrium.
- Language
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Englisch
- Bibliographic citation
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Series: Texto para discussão ; No. 540
- Classification
-
Wirtschaft
- Subject
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Equilibrium
Infinite horizon incomplete markets
Infinite-lived real assets.
- Event
-
Geistige Schöpfung
- (who)
-
Moreno-García, Emma
Torres-Martínez, Juan Pablo
- Event
-
Veröffentlichung
- (who)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (where)
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Rio de Janeiro
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Moreno-García, Emma
- Torres-Martínez, Juan Pablo
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Time of origin
- 2007
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Credit default swaps und Informationsgehalt
A unified approach to Credit Default Swaption and Constant Maturity Credit Default Swap valuation
Copulas in Equity and Credit Risk - Default-Dependent Intensity Models and Information-Based Setup
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