leverage episodes have been associated with slower economic growth and a higher incidence of default or, more generally …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

We document that the global scope and depth of the crisis the began with the collapse of the subprime mortgage market …

shortage sell loans on the interbank market. Two equilibria emerge. In the no default equilibrium, all banks hold enough … reserves and remain solvent. In the mixed equilibrium, some banks default with positive probability. The former exists when …