Arbeitspapier

Credit Risk in General Equilibrium

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction of many market participants: They are endogenous. The authors develop a general equilibrium model with endogenous credit risk that can be viewed as an extension of the capital asset pricing model. They analyze equilibrium prices of securities as well as equilibrium allocations in the presence of credit risk. The authors use the model to discuss the conceptual underpinnings of the approach to risk weight calibration for credit risk taken by the Basel Committee.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 172

Klassifikation
Wirtschaft
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Bankruptcy; Liquidation
Financial Crises
Incomplete Markets
Thema
Credit Risk
Endogenous Risk
Systemic Risk
Banking Regulation

Ereignis
Geistige Schöpfung
(wer)
Eichberger, Jürgen
Rheinberger, Klaus
Summer, Martin
Ereignis
Veröffentlichung
(wer)
Oesterreichische Nationalbank (OeNB)
(wo)
Vienna
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:42 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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Eichberger, Jürgen
  • Rheinberger, Klaus
  • Summer, Martin
  • Oesterreichische Nationalbank (OeNB)

Entstanden

  • 2011

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