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Capital regulation and credit fluctuations

Gersbach, Hans; Rochet, Jean-Charles - 2012

Persistent link: https://www.econbiz.de/10009621823

Capital regulation and credit fluctuations

Gersbach, Hans; Rochet, Jean-Charles - In: Macroprudentialism, (pp. 89-95). 2014

Persistent link: https://www.econbiz.de/10011507360

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10008748331

Default Risk in Stochastic Volatility Models

Gersbach, Hans - 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm's credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10013138808

Capital regulation and credit fluctuations

Gersbach, Hans; Rochet, Jean-Charles - In: Journal of monetary economics 90 (2017), pp. 113-124

Persistent link: https://www.econbiz.de/10011799237

Research Bubbles

Gersbach, Hans - 2020

We develop a model to rationalize and examine so-called “research bubbles”, i.e. research activities based on overoptimistic beliefs about the impact of this research on the economy. Research bubbles occur when researchers selfselect into research activities and the government aggregates the...

Persistent link: https://www.econbiz.de/10012836495