Single‐name Credit Risk, Portfolio Risk and Credit Rationing
Datos Bibliográficos
| ID | 9728595 |
|---|---|
| Autores | Lutz G Arnold (0000-0002-3576-0937, University of Regensburg), Johannes Reeder (University of Regensburg), Stefanie Trepl (University of Regensburg) |
| Año | 2014 |
| Volumen | 81 |
| Número | 322 |
| Páginas | 311-328 |
| Fecha de publicación | 2014-04-01 |
| Peer Reviewed | Sí |
| Open Access | Sí |
| Tipo | ARTICLE |
| Revista | Economica (JOURNAL) |
| Identificadores de la revista | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Editorial | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/ecca.12075 |
| OpenAlex | W2105613618 |
| Idioma | EN |
| Referencias citadas | 27 |
In the Stiglitz–Weiss (1981) adverse selection model, pure credit rationing cannot arise in equilibrium. We show that this is due to the fact that single‐name risks are independent and a well‐diversified portfolio contains no risk. We introduce non‐diversifiable macroeconomic risk to the model and show that risk‐averse lenders possibly ration credit. Welfare analysis shows that an interest rate ceiling is potentially welfare enhancing and that equilibrium overinvestment can occur
Actuarial science · Adverse selection · Credit rationing · Credit risk · Economics · Financial economics · Interest rate · Microeconomics · Monetary economics · Portfolio · Rationing · Welfare · Banking stability, regulation, efficiency · Corporate Finance and Governance · Credit Risk and Financial Regulations
| Velocidad de citación | historical |
|---|---|
| Altamente citado | No |