An Equilibrium Model of Credit Risk and Asset Pricing
We develop a stochastic general equilibrium model with heterogeneous firms which can default on their debt obligations. We calibrate the model to match the slient facts about the business cycle and show how it can be used to simultaneously match a number of stylized facts about both credit and equity markets
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:red:sed008:699. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.