Birge, John R.; Júdice, Pedro - In: Journal of Banking & Finance 37 (2013) 12, pp. 4711-4720
We propose a dynamic framework which encompasses the main risks in balance sheets of banks in an integrated fashion. Our contributions are fourfold: (1) solving a simple one-period model that describes the optimal bank policy under credit risk; (2) estimating the long-term stochastic processes...