Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/93409 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
CESifo Working Paper No. 4602
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
financial markets equilibrium
bankruptcy
JEL: 
D53
G10
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.