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Single-Name Credit Risk, Portfolio Risk, and Credit Rationing

Arnold, Lutz G. and Reeder, Johannes and Trepl , Stefanie (2010) Single-Name Credit Risk, Portfolio Risk, and Credit Rationing. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 448, Working Paper.

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Abstract

This paper introduces non-diversifiable risk in the Stiglitz-Weiss adverse selection model, so that an increase in the average riskiness of the borrower pool causes higher portfolio risk. This opens up the possibility of equilibrium credit rationing. Comparative statics analysis shows that an increase in risk aversion turns a two-price equilibrium into a rationing equilibrium. A two-price ...

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Item Type:Monograph (Working Paper)
Date:2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Theoretische Volkswirtschaft (Prof. Dr. Lutz Arnold)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:17365RePEc Handle
Classification:
NotationType
D82Journal of Economics Literature Classification
E51Journal of Economics Literature Classification
G21Journal of Economics Literature Classification
Keywords:asymmetric information, credit rationing
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Unknown
Created at the University of Regensburg:Yes
Owner: Stefanie Trepl
Deposited On:19 Oct 2010 12:16
Last Modified:07 Apr 2014 09:14
Item ID:17365
Owner Only: item control page

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