Credit Risk in General Equilibrium

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 172

Klassifikation und Themen

• 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

Beteiligte, Orts- und Zeitangaben

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

Weitere Informationen

• Handle: http://hdl.handle.net/10419/264764
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ