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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
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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
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Capital regulation and credit fluctuations
Gersbach, Hans; Rochet, Jean-Charles - In: Macroprudentialism, (pp. 89-95). 2014
Persistent link: https://www.econbiz.de/10011507360
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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
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Capital regulation and credit fluctuations
Gersbach, Hans; Rochet, Jean-Charles - 2012
Persistent link: https://www.econbiz.de/10009621823
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Public debt and the balance sheet of the private sector
Gersbach, Hans; Rochet, Jean-Charles; Thadden, … - 2023
Persistent link: https://www.econbiz.de/10014227978
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Public debt and the balance sheet of the private sector
Gersbach, Hans; Rochet, Jean-Charles; Thadden, Elu von - 2022
Persistent link: https://www.econbiz.de/10013348721
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Default Risk in Stochastic Volatility Models
Gersbach, Hans; Surulescu, Nicolae - 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/10011753195
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Debt contracts, collapse and regulation as competition phenomena
Gersbach, Hans; Uhlig, Harald - 1998
Persistent link: https://www.econbiz.de/10000978176
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On the coexistence of banks and markets
Gersbach, Hans (contributor); Uhlig, Harald (contributor) - 2006
We examine the coexistence of banks and financial markets, studying a credit market where the qualities of investment projects are not observable and the investment decisions of entrepreneurs are not contractible. Standard banks can alleviate moral-hazard problems by securing a portion of a...
Persistent link: https://www.econbiz.de/10003375777