Credit Risk in General Equilibrium

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4602

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Equilibrium and Disequilibrium: Financial Markets ; General Financial Markets: General (includes Measurement and Data)
• Thema: financial markets equilibrium ; bankruptcy

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Eichberger, Jürgen ; Rheinberger, Klaus ; Summer, Martin
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/93409
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ