systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which … utilizes a multi-equation framework to model forward-looking measures of market and credit risk using the credit default swap …

theory model using data on the universe of German multinationals. The empirical analysis largely supports our model in that …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization …

, individuals cannot commit to the use of collateral as a guarantee of repayment, and both lenders and borrowers have incentives to … renege. Our theory provides a micro-foundation to justify the borrowing constraints that are widely used in the existing … macroeconomic models. We provide an explanation to the question of why assets are often used as collateral, rather than simply as a …

states where collateral value is high and maximizes borrowing capacity when it is low. Haircuts increase both with … counterparty risk and asset risk. In equilibrium, lenders choose to re-use collateral. This increases the circulation of the asset … and generates a "collateral multiplier" effect. Finally, we show that intermediation by dealers may endogenously arise in …

students who have private information on their ability to learn and can decide to default on debt. We show that the combination … of ex-post moral hazard and adverse selection produces credit market rationing when default penalties are low. When … default penalties increase, the level of student risk aversion proves crucial in determining the market outcome. If risk …