Credit Risk in General Equilibrium
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit risk in general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
- Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012. "Credit risk in general equilibrium," Working Paper Series 1445, European Central Bank.
- Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit Risk in General Equilibrium," CESifo Working Paper Series 4602, CESifo.
References listed on IDEAS
- Michael Magill & Martine Quinzii, 1997.
"Which improves welfare more: A nominal or an indexed bond?,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 10(1), pages 1-37.
- Magill, M. & Quinzii, M., 1995. "Which Improves Welfare More: Nominal or Indexed Bond?," Department of Economics 95-20, California Davis - Department of Economics.
- Magill, M. & Quinzii, M., 1995. "Which Improves Welfare More: Nominal or Indexed Bond?," Papers 95-20, California Davis - Institute of Governmental Affairs.
- Martine Quinzii & Michael Magill, 2004. "Which Improves Welfare More: Nominal Or Indexed Bond?," Working Papers 230, University of California, Davis, Department of Economics.
- Magill, M. & Quinzii, M., 1995. "Which Improves Welfare More: Nominal or Indexed Bond?," Papers 9521, Southern California - Department of Economics.
- MAGILL, Michael & QUINZII, Martine, 1995. "Which Improves Welfare More : Nominal or Indexed Bond ?," LIDAM Discussion Papers CORE 1995072, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:onb:oenbwp:y::i:49:b:1 is not listed on IDEAS
- Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
- Martin Hellwig, 2010.
"Capital Regulation after the Crisis: Business as Usual?,"
ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 8(02), pages 40-46, July.
- Martin Hellwig, 2010. "Capital Regulation after the Crisis: Business as Usual?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2010_31, Max Planck Institute for Research on Collective Goods.
- Grandmont, Jean-Michel, 1993.
"Temporary general equilibrium theory,"
Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 4, volume 2, chapter 19, pages 879-922,
Elsevier.
- Grandmont, Jean-Michel, 1977. "Temporary General Equilibrium Theory," Econometrica, Econometric Society, vol. 45(3), pages 535-572, April.
- Peter Bossaerts & Charles Plott & William R. Zame, 2007.
"Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments,"
Econometrica, Econometric Society, vol. 75(4), pages 993-1038, July.
- Peter Bossaerts & Charles Plott & William R. Zame, 2007. "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series 07-05, Swiss Finance Institute.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005.
"Default and Punishment in General Equilibrium,"
Econometrica, Econometric Society, vol. 73(1), pages 1-37, January.
- P. Dubey & J. Geanakoplos & M . Shubik, 2001. "Default and Punishment in General Equilibrium," Department of Economics Working Papers 01-07, Stony Brook University, Department of Economics.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304R5, Cowles Foundation for Research in Economics, Yale University, revised Mar 2004.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304, Cowles Foundation for Research in Economics, Yale University.
- Zame, William R, 1993.
"Efficiency and the Role of Default When Security Markets Are Incomplete,"
American Economic Review, American Economic Association, vol. 83(5), pages 1142-1164, December.
- William R. Zame, 1990. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 585, UCLA Department of Economics.
- William R. Zame, 1992. "Efficiency and the Role of Default When Security Markets are Incomplete," UCLA Economics Working Papers 673, UCLA Department of Economics.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614, Elsevier.
- Shin, Hyun Song, 2010. "Risk and Liquidity," OUP Catalogue, Oxford University Press, number 9780199546367.
- Sato, Norihisa, 2010. "Satiation and existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 534-551, July.
- Luttmer, Erzo G J, 1996. "Asset Pricing in Economies with Frictions," Econometrica, Econometric Society, vol. 64(6), pages 1439-1467, November.
- Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
- Salvatore Modica & J.-Marc Tallon & Aldo Rustichini, 1998.
"Unawareness and bankruptcy: A general equilibrium model,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(2), pages 259-292.
- Salvatore Modica & Aldo Rustichini & Jean-Marc Tallon, 1998. "Unawareness and bankruptcy: A general equilibrium model," Post-Print halshs-00499386, HAL.
- repec:ces:ifodic:v:8:y:2010:i:2:p:14566986 is not listed on IDEAS
- Sabarwal Tarun, 2003. "Competitive Equilibria With Incomplete Markets and Endogenous Bankruptcy," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 3(1), pages 1-42, January.
- Helmut Elsinger & Martin Summer, 2001. "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers 49, Oesterreichische Nationalbank (Austrian Central Bank).
- Sato Norihisa, 2010. "Existence of Competitive Equilibrium in Unbounded Exchange Economies with Satiation: A Note," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-22, July.
- Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(3), pages 467-473.
- Mário R. Páscoa & Aloisio P. Araujo, 2002. "Bancruptcy in a model of unsecured claims," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(3), pages 455-481.
- Martin Hellwig, 2010.
"Capital Regulation after the Crisis: Business as Usual?,"
ifo DICE Report,
ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 8(2), pages 40-46, 07.
- Martin Hellwig, 2010. "Capital Regulation after the Crisis: Business as Usual?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2010_31, Max Planck Institute for Research on Collective Goods.
- Gyutaeg Oh, 1996. "Some Results in the CAPM with Nontraded Endowments," Management Science, INFORMS, vol. 42(2), pages 286-293, February. Full references (including those not matched with items on IDEAS)
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:- Deimante Teresiene & Beatrice Gudaviciute, 2021. "Counterparty risk management framework: theoretical approach in COVID-19 environment," Technium Social Sciences Journal, Technium Science, vol. 17(1), pages 184-193, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:onb:oenbwp:y::i:172:b:1 is not listed on IDEAS
- Nicolas Houy & Frédéric Jouneau & François Le Grand, 2020. "Defaulting firms and systemic risks in financial networks: a normative approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 503-526, September.
- Li Gan & Tarun Sabarwal, 2005. "A Simple Test of Adverse Events and Strategic Timing Theories of Consumer Bankruptcy," NBER Working Papers 11763, National Bureau of Economic Research, Inc.
- Li Gan & Tarun Sabarwal & Shuoxun Zhang, 2010.
"Personal Bankruptcy: Reconciling Adverse Events and Strategic Timing Hypotheses Using Heterogeneity in Filing Types,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201008, University of Kansas, Department of Economics, revised May 2011.
- Li Gan & Tarun Sabarwal & Shuoxun Zhang, 2012. "Personal Bankruptcy: Reconciling Adverse Events and Strategic Filing Hypotheses Using Heterogeneity in Filing Types," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201239, University of Kansas, Department of Economics, revised Oct 2012.
- Iraola, Miguel & Torres-Martínez, Juan Pablo, 2013.
"Liquidity Contractions, Incomplete Financial Participation and the Prevalence of Negative Equity Non-recourse Loans,"
MPRA Paper
46838, University Library of Munich, Germany.
- Miguel A. Iraola & Juan Pablo Torres-Martinez, 2013. "Liquidity Contractions, Incomplete Financial Participation and the Prevalence of Negative Equity Non-Recourse Loans," Working Papers 2013-08, University of Miami, Department of Economics.
- M. Udara Peiris & Dimitrios P. Tsomocos, 2019.
"International monetary equilibrium with default,"
Chapters, in: Financial Regulation and Stability, chapter 10, pages 259-269,
Edward Elgar Publishing.
- Peiris, M. Udara & Tsomocos, Dimitrios P., 2015. "International monetary equilibrium with default," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 47-57.
- Iraola, Miguel A. & Torres-Martínez, Juan Pablo, 2014. "Equilibrium in collateralized asset markets: Credit contractions and negative equity loans," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 113-122.
- Xi Yang, 2016.
"Predicting bank failures: The leverage versus the risk-weighted capital ratio,"
EconomiX Working Papers
2016-15, University of Paris Nanterre, EconomiX.
- Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Post-Print hal-01671522, HAL.
- Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Post-Print hal-01671520, HAL.
- Weiye Cheny, 2018. "Credit and Bankruptcy in a Temporary Equilibrium Model," Discussion Papers in Economics and Business 18-23, Osaka University, Graduate School of Economics.
- John Geanakoplos & William Zame, 2014.
"Collateral equilibrium, I: a basic framework,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 443-492, August.
- Geanakoplos, John & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Cowles Foundation Discussion Papers 1906, Cowles Foundation for Research in Economics, Yale University.
- John Geanakoplos & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Levine's Working Paper Archive 786969000000000741, David K. Levine.
- John Geanakoplos & William Zame, 2013. "Collateral Equilibrium - A Basic Framework," EIEF Working Papers Series 1319, Einaudi Institute for Economics and Finance (EIEF), revised Aug 2013.
- Miguel A. Iraola & Juan Pablo Torres-Martínez, 2012.
"Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets,"
Working Papers
wp364, University of Chile, Department of Economics.
- Miguel Angel Iraola & Juan Pablo Torres-Martinez, 2012. "Liquidity Contractions and Prepayment Risk on Collateralized Asset Markets," Working Papers 1204, Centro de Investigacion Economica, ITAM.
- Jacques Drèze & Enrico Minelli & Mario Tirelli, 2008.
"Production and financial policies under asymmetric information,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 217-231, May.
- DRÈZE, Jacques & MINELLI, Enrico & TIRELLI, Mario, 2004. "Production and financial policies under asymmetric information," LIDAM Discussion Papers CORE 2004027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- J.H. Dreze & E. Minelli & M. Tirelli, 2006. "Production and Financial Policies under Asymmetric Information," Working Papers ubs0608, University of Brescia, Department of Economics.
- Vinko Zlatić & Giampaolo Gabbi & Hrvoje Abraham, 2015.
"Reduction of Systemic Risk by Means of Pigouvian Taxation,"
PLOS ONE, Public Library of Science, vol. 10(7), pages 1-18, July.
- Vinko Zlati'c & Giampaolo Gabbi & Hrvoje Abraham, 2014. "Reduction of systemic risk by means of Pigouvian taxation," Papers 1406.5817, arXiv.org.
- Rubén Poblete-Cazenave & Juan Torres-Martínez, 2013.
"Equilibrium with limited-recourse collateralized loans,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(1), pages 181-211, May.
- Rubén Poblete-Cazenave & Juan Pablo Torres-Martínez, 2010. "Equilibrium with limited-recourse collateralized loans," Working Papers wp313, University of Chile, Department of Economics.
- Clovis Rugemintwari & Alain Sauviat & Amine Tarazi, 2012.
"Bâle 3 et la réhabilitation du ratio de levier des banques. Pourquoi et comment ?,"
Revue économique, Presses de Sciences-Po, vol. 63(4), pages 809-820.
- Clovis Rugemintwari & Alain Sauviat & Amine Tarazi, 2012. "Bâle 3 et la réhabilitation du ratio de levier des banques : Pourquoi et comment ?," Post-Print hal-00785636, HAL.
- Xavier Mateos-Planas & Giulio Seccia, 2014. "Consumer default with complete markets: default-based pricing and finite punishment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 549-583, August.
- Wei Ma, 2015. "A Constructive Proof of the Existence of Collateral Equilibrium for a Two-Period Exchange Economy Based on a Smooth Interior-Point Path," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 1-30, January.
- Xi Yang, 2016. "Predicting bank failures: The leverage versus the risk-weighted capital ratio," Working Papers hal-04141595, HAL.
- Xavier Mateos-Planas & Giulio Seccia, 2013. "Consumer Default with Complete Markets: Default-based Pricing and Finite Punishment," Working Papers 711, Queen Mary University of London, School of Economics and Finance.
- Calvet, Laurent & Gonzalez-Eiras, MartÃn & Sodini, Paolo, 2004.
"Financial Innovation, Market Participation, and Asset Prices,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
- Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001. "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers 1928, Harvard - Institute of Economic Research.
- Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Post-Print hal-00478480, HAL.
- Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers 9840, National Bureau of Economic Research, Inc.
- Calvet, Laurent & Gonzalez-Eiras, Martin & Sodini, Paolo, 2001. "Financial Innovation, Market Participation and Asset Prices," SSE/EFI Working Paper Series in Economics and Finance 464, Stockholm School of Economics.
- Martin Gonzalez Eiras & Laurent Calvet & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Working Papers 76, Universidad de San Andres, Departamento de Economia, revised Sep 2004.
- Hartmann-Wendels, Thomas, 2012. "Regulatorische Folgen der Finanzkrisen: Auswirkungen auf die Leasing-Branche," Leasing - Wissenschaft & Praxis, Universität zu Köln, Forschungsinstitut für Leasing, vol. 10(1), pages 3-88.
More about this item
Keywords
Credit Risk; Endogenous Risk; Systemic Risk; Banking Regulation;
All these keywords.JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G01 - Financial Economics - - General - - - Financial Crises
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2011-10-22 (Banking)
- NEP-CBA-2011-10-22 (Central Banking)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-RMG-2011-10-22 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:onb:oenbwp:172. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Markus Knell (email available below). General contact details of provider: https://edirc.repec.org/data/oenbbat.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.