We develop a sovereign debt model with offcial and private creditors where default risk depends on both the level and … presence of long-term debt overhang, the availability of offcial funds increases the probability of default on existing debt …, although default does not trigger exclusion from private credit markets. These findings help shed light on joint default and …

A high-quality and granular probability of default (PD) model is on many practical dimensions far superior to any … referencing the historical default experience of some credit rating agency exists in the literature. This paper improves the PD … implied rating (PDiR) methodology by targeting the historical credit migration matrix instead of simply default rates. This …

This paper is aimed at finding individual and systemic determinants of housing default in a full-recourse economy. We … well-known model of mortgage default for nonrecourse economies (Geanakoplos and Zame, 2014), adding a nonpecuniary cost for … model, we obtain an analytical expression involving default determinants for micro and macro mortgage loans. As a case study …

This paper investigates a model of default in financial networks where the decision by one agent on whether or not to … default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism … default game. Furthermore, we develop an algorithm to find all Nash equilibria that relies on the financial network structure …