Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/293977 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
ECONtribute Discussion Paper No. 294
Verlag: 
University of Bonn and University of Cologne, Reinhard Selten Institute (RSI), Bonn and Cologne
Zusammenfassung: 
We use tools from survival analysis to study the equilibrium probability of bank failure in a model with imperfect correlation in loan defaults where a systematic risk factor and idiosyncratic frailty factors govern borrower credit worth. We derive several surprising results: in equilibrium, a bank can be more likely to fail with less risky than with more risky borrowers. In addition, the equilibrium relationship between borrower and bank risk can be fundamentally altered by a greater dispersion of the frailty factors, similar to how mixing items of different durability can fundamentally change the overall aging pattern.
Schlagwörter: 
Correlated defaults
borrower heterogeneity
bank failure
survival analysis
JEL: 
G21
G28
E43
Dokumentart: 
Working Paper

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