optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously … generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a …

Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …

to the risk of default, which is a collective risk. The possibility of default represents endogenous uncertainty, since … existence of a general equilibrium with default, in which the agents recontract trading positions and prices in the states of … default (Theorem 1). We establish the existence of an open set of general equilibrium economies, called complex economies, in …

conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In … history and some other variables, LIMMs default slightly more frequently and have about the same loss severity as other loans … differences in prepayment speed on price approximately cancels out the effect of the higher incidence of default. …

students.In the second chapter, I study the sovereign borrowing market. Sovereign default often affects country’s trade … imports, which stimulates an adjustment to the equilibrium exchange rate. I demonstrate that a default episode can imply up to …

nonprime and prime loan default and prepayment behavior. Nonprime loans are identified by mortgage interest rates that are … mortgages: they have different risk characteristics at origination; they default at elevated levels; and they respond … differently to the incentives to prepay and default. For instance, nonprime mortgages are less responsive to how much the option …

of sovereign default risk. International borrowing and lending arise from the interaction between a risk averse sovereign … lenders. The credit market is imperfect because the country cannot commit to repay its outstanding debt and chooses to default … when it is optimal to do so. The possibility of default induces an endogenous sovereign risk premium on foreign debt and …