work is the issue of existence and uniqueness of equilibrium. We resolve this question in the affirmative, assuming the …

optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously … generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a …

Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …

existence of a general equilibrium with default, in which the agents recontract trading positions and prices in the states of … default (Theorem 1). We establish the existence of an open set of general equilibrium economies, called complex economies, in … to the risk of default, which is a collective risk. The possibility of default represents endogenous uncertainty, since …

conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In … history and some other variables, LIMMs default slightly more frequently and have about the same loss severity as other loans … differences in prepayment speed on price approximately cancels out the effect of the higher incidence of default. …

students.In the second chapter, I study the sovereign borrowing market. Sovereign default often affects country’s trade … imports, which stimulates an adjustment to the equilibrium exchange rate. I demonstrate that a default episode can imply up to …

volatility on sovereign default risk. Empirically, the paper establishes a concave relationship between spreads and volatility … volatility this relationship turns negative. The chapter also presents a quantitative model of sovereign debt with default risk … consistent with this feature and other characteristics of EME debt. The intuition for this result is the existence of a trade …