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dc.contributor.authorStein, Jerome L.en
dc.date.accessioned2008-02-28-
dc.date.accessioned2009-07-28T08:29:45Z-
dc.date.available2009-07-28T08:29:45Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/26265-
dc.description.abstractBanks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities sides. The vulnerability of the borrowing firm to shocks from either the return to capital, the interest rate or capital gain, increases in proportion to the difference between the Actual and Optimal debt ratio, called the excess debt. As the debt ratio exceeds the optimum, default becomes ever more likely. This paper is “A Tale of Two Crises” because the analysis is applied to the agricultural debt crisis of the 1980s and to the sub-prime mortgage crisis of 2007. A measure of excess debt is derived, and we show that it is an early warning signal of a crisis.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2220en
dc.subject.jelC61en
dc.subject.jelD81en
dc.subject.jelD91en
dc.subject.jelD92en
dc.subject.ddc330en
dc.subject.keywordoptimizationen
dc.subject.keywordbankingen
dc.subject.keywordstochastic optimal controlen
dc.subject.keywordagriculture debt crisisen
dc.subject.keywordsubprime mortgage crisisen
dc.subject.stwKreditrisikoen
dc.subject.stwMessungen
dc.subject.stwDynamische Optimierungen
dc.subject.stwStochastischer Prozessen
dc.subject.stwKontrolltheorieen
dc.subject.stwVergleichen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwUSAen
dc.titleA tale of two debt crises: a stochastic optimal control analysis-
dc.typeWorking Paperen
dc.identifier.ppn55908806Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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