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- W2196853911 abstract "We study default risk in an incomplete markets general equilibrium setting. We show some interesting properties of default and recovery rates in equilibrium, and derive CAPM-type equilibrium bounds on credit spreads. We are able to price aggregate components of credit risk, summarized in our model by 'credit quality.' Finally we argue that states with the possibility of 'rolling default' exist when defaultable assets are traded, and because of this possibility, there can be flight to quality and a marketwide increase in credit spreads. When these rolling default states exist, and negative shocks to receivables are anticipated, this ‘contagion risk’ is priced." @default.
- W2196853911 created "2016-06-24" @default.
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- W2196853911 date "2006-01-29" @default.
- W2196853911 modified "2023-09-23" @default.
- W2196853911 title "Credit Spreads in General Equilibrium" @default.
- W2196853911 hasPublicationYear "2006" @default.
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