Johannes Reeder
Biographic Data
| ID | 5740033 |
|---|---|
| NAME | Johannes Reeder |
| GIVEN NAMES | Johannes |
| FAMILY NAME | Reeder |
| SIGNATURE | REEDER J |
| AFFILIATIONS | University of Regensburg |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2014 |
| H-INDEX | 0 |
Single‐name Credit Risk, Portfolio Risk and Credit Rationing
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 eq…
No prominent works on this page.
Single‐name Credit Risk, Portfolio Risk and Credit Rationing
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 eq…
Actuarial science (1 work) · Adverse selection (1 work) · Banking stability, regulation, efficiency (1 work) · Corporate Finance and Governance (1 work) · Credit rationing (1 work) · Credit risk (1 work) · Credit Risk and Financial Regulations (1 work) · Economics (1 work) · Financial economics (1 work) · Interest rate (1 work)