WO R K I N G PA P E R S E R I E S N O 1 4 4 5 / J U N E 2 0 1 2 CREDIT RISK IN GENERAL EQUILIBRIUM by Jürgen Eichberger, Klaus Rheinberger and Martin Summer MACROPRUDENTIAL RESEARCH NETWORK In 2012 all ECB publications feature a motif taken from the €50 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reﬂ ect those of the ECB. Macroprudential Research Network This paper presents research conducted within the Macroprudential Research Network (MaRs). The network is composed of econo- mists from the European
System of Central Banks (ESCB), i.e. the 27 national central banks of the European Union (EU) and the Euro- pean Central Bank. The objective of MaRs is to develop core conceptual frameworks, models and/or tools supporting macro-prudential supervision in the EU. The research is carried out in three work streams: 1. Macro-ﬁ nancial models linking ﬁ nancial stability and the performance of the economy; 2. Early warning systems and systemic risk indicators; 3. Assessing contagion risks. MaRs is chaired by Philipp Hartmann (ECB). Paolo Angelini (Banca d’Italia), Laurent Clerc (Banque de France), Carsten Detken (ECB) and Katerina Šmídková (Czech National Bank) are workstream coordinators. Xavier Freixas (Universitat Pompeu Fabra) acts as external consultant and Angela Maddaloni (ECB) as Secretary. The refereeing process of this paper has been coordinated by a team composed of Cornelia Holthausen, Kalin Nikolov and Bernd Schwaab (all ECB). The paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and sug- gestions prior to ﬁ nal publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reﬂ ect those of the ECB or of the ESCB. Jürgen Eichberger at University of Heidelberg, Alfred-Weber-Institut für Wirtschaftswissenschaften, Bergheimer Straße 58, D-69115 Heidelberg, Germany; e-mail: firstname.lastname@example.org Klaus Rheinberger at University of Applied Sciences Vorarlberg, Research Center Process and Product Engineering, Hochschulstra e 1, A-6850 Dornbirn, Austria; e-mail: email@example.com Martin Summer at Oesterreichische Nationalbank, Economic Studies Division, Otto-Wagner-Platz 3, A-1090 Wien, Austria; e-mail: firstname.lastname@example.org © European Central Bank, 2012 Address Kaiserstrasse 29, 60311 Frankfurt am Main, Germany Postal address Postfach 16 03 19, 60066 Frankfurt am Main, Germany Telephone +49 69 1344 0 Internet http://www.ecb.europa.eu Fax +49 69 1344 6000 All rights reserved. ISSN 1725-2806 (online) Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. This paper can be downloaded without charge from http://www.ecb.europa.eu or from the Social Science Research Network electronic library at http://ssrn.com/abstract_id=2081663. Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website, http://www.ecb.europa. eu/pub/scientiﬁ c/wps/date/html/index.en.html Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this per- spective an exogenous source of risk drives...
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