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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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Financial Intermediation, Capital Spillovers and Business Fluctuation
Gersbach, Hans - 1998
We study how the financial intermediation sector interacts with the real sector over the business cycle. We examine an overlapping generations model in which financial intermediaries can alleviate agency problems of entrepreneurs. We identify the conditions under which deteriorating balance...
Persistent link: https://www.econbiz.de/10012790358
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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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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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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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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
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Why bank money creation?
Gersbach, Hans; Zelzner, Sebastian - 2022 - This version: April 20, 2022
We provide a rationale for bank money creation in our current monetary system by investigating its merits over a system with banks as intermediaries of loanable funds. The latter system could result when CBDCs are introduced. In the loanable funds system, households limit banks' leverage ratios...
Persistent link: https://www.econbiz.de/10013187924
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Deposit Insurance in General Equilibrium
Britz, Volker - 2016
We study the consequences and optimal design of bank deposit insurance in a general equilibrium model. The model involves two production sectors. One sector is financed by issuing bonds to risk-averse households. Firms in the other sector are monitored and financed by banks. Households fund...
Persistent link: https://www.econbiz.de/10012983311