Arbeitspapier
On the relationship between borrower and bank risk
We use tools from survival analysis to study the equilibrium probability of bank failure in a model with imperfect correlation in loan defaults where a systematic risk factor and idiosyncratic frailty factors govern borrower credit worth. We derive several surprising results: in equilibrium, a bank can be more likely to fail with less risky than with more risky borrowers. In addition, the equilibrium relationship between borrower and bank risk can be fundamentally altered by a greater dispersion of the frailty factors, similar to how mixing items of different durability can fundamentally change the overall aging pattern.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECONtribute Discussion Paper ; No. 294
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
Correlated defaults
borrower heterogeneity
bank failure
survival analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mitkov, Yuliyan
Schüwer, Ulrich
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn and University of Cologne, Reinhard Selten Institute (RSI)
- (wo)
-
Bonn and Cologne
- (wann)
-
2024
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mitkov, Yuliyan
- Schüwer, Ulrich
- University of Bonn and University of Cologne, Reinhard Selten Institute (RSI)
Entstanden
- 2024
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