Credit Risk in General Equilibrium
Klaus Rheinberger () and
Martin Summer ()
Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction of many market participants: They are endogenous. The authors develop a general equilibrium model with endogenous credit risk that can be viewed as an extension of the capital asset pricing model. They analyze equilibrium prices of securities as well as equilibrium allocations in the presence of credit risk. The authors use the model to discuss the conceptual underpinnings of the approach to risk weight calibration for credit risk taken by the Basel Committee.
Keywords: Credit Risk; Endogenous Risk; Systemic Risk; Banking Regulation (search for similar items in EconPapers)
JEL-codes: D52 G01 G32 G33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cis and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.oenb.at/dam/jcr:33782bd9-84a5-4f36-83e ... 172_tcm16-239052.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://www.oenb.at/dam/jcr:33782bd9-84a5-4f36-83e2-57fb19fba322/wp172_tcm16-239052.pdf [303 See Other]--> https://www.oenb.at/error_path/403.html?al_req_id=YP5aE8vF0Evqp1cVSn@aPgAAATs)
Journal Article: Credit risk in general equilibrium (2014)
Working Paper: Credit Risk in General Equilibrium (2014)
Working Paper: Credit risk in general equilibrium (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:onb:oenbwp:172
Ordering information: This working paper can be ordered from
Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
The price is Free subject to availability.
Access Statistics for this paper
More papers in Working Papers from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Markus Knell and Helmut Stix ().