assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …

capital stock is fixed, there may be multiple equilibria. If foreign banks regard lending as low-risk, then it is. But if they … regard lending as high-risk and charge a higher interest rate, then the costs of honouring guarantees rises, making the … lending high-risk and the risk premium self-justifying. A crisis occurs with a switch to this second equilibrium in which the …

large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial …