Shibata, Takashi; Yamada, Tetsuya - In: Monetary and Economic Studies 27 (2009) 1, pp. 195-218
We develop a dynamic credit risk model for the case in which banks compete to collect their loans from a firm in danger of bankruptcy. We apply a game-theoretic real options approach to investigate banksf optimal strategies. Our model reveals that the bank with the larger loan amount, namely,...
