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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
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On the coexistence of banks and markets
Gersbach, Hans; Uhlig, Harald - 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/10010263646
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Enough liquidity with enough capital - and vice versa?
Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2023
We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future … return prospects on the long-term investment turn out to be bad. For moderate return risk, equilibria with and without bank … default coexist, and bank default is a self-fulfilling prophecy. Capital and liquidity regulation can prevent bank default and …
Persistent link: https://www.econbiz.de/10014366762
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Risk Sharing Capacity : Markets versus Households
Gersbach, Hans - 2014
-space approach of Arrow-Debreu. A host of new interesting economic issues emerge. First, risk averse agents can attempt to insure … an open question. Second, one may ask more specifically what is the role of social groups for risk sharing and risk … allocation when agents face idiosyncratic or aggregate risk. Third, does a suitable combination of social group formation and …
Persistent link: https://www.econbiz.de/10013061191
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On the Coexistence of Banks and Markets
Gersbach, Hans; Uhlig, Harald - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
We examine the coexistence of banks and financial markets, studyinga credit market where the qualities of investment projects are notobservable and the investment decisions of entrepreneurs are not contractible...
Persistent link: https://www.econbiz.de/10005854968
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On the Coexistence of Banks and Markets
Gersbach, Hans; Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005677908
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Debt Contracts, Collapse and Regulation as Competition Phenomena
Gersbach, Hans; Uhlig, Harald - C.E.P.R. Discussion Papers - 1997
This paper studies a credit market with adverse selection and moral hazard where sufficient sorting is impossible. The crucial novel feature is the competition between lenders in their choice of contracts offered. The quality of investment projects is unobservable by banks and entrepreneurs’...
Persistent link: https://www.econbiz.de/10005661861
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Default correlations, macroeconomic risk and credit portfolio management
Gersbach, Hans; Lipponer, Alexander - 1999
Persistent link: https://www.econbiz.de/10001475214
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Liquidity creation, efficiency, and free banking
Gersbach, Hans - In: Journal of financial intermediation 7 (1998) 1, pp. 91-118
Persistent link: https://www.econbiz.de/10001246941
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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 instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that the...
Persistent link: https://www.econbiz.de/10013138808