Disastrous Defaults

DOI10.1093/ROF/RFAA042MaRDI QIDQ5022748zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, Sarah Mouabbi, Jean-Paul Renne, Alain Monfort

Publication date 19 January 2022

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfaa042

zbMATH Keywords

credit derivativesdisaster riskequilibrium modeldefault dependenciessystemic entities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Self-fulfilling crises with default and devaluation
• Self-Fulfilling Debt Crises
• Credit rating and debt crises
• Financial destabilization
• Bailouts and financial fragility
• Default and aggregate income
• Savings and default

Cited in

(2)

• Bank default indicators with volatility clustering
• Savings and default

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