کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069791 1373204 2011 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
چکیده انگلیسی

There are two competing paradigms for modeling credit risk: the structural and reduced form models. This paper applies our knowledge of credit market equilibrium to this debate. We show that credit markets have asymmetric information in the borrowing and lending relationship which influence equilibrium prices. Reduced form models are consistent with asymmetric equilibrium models, but structural models are not. This implies that structural models should not be used for pricing, hedging, or risk management.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 8, Issue 1, March 2011, Pages 2-7
نویسندگان
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