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摘要翻译：
我们建立了一个有限时域连续时间市场模型，其中风险厌恶投资者通过动态投资于无风险货币市场账户、无违约股息过程中的股票和可违约债券来最大化终端财富的效用，它们的价格通过均衡决定。本文通过投资者的均衡行为、风险偏好和违约强度的周期性特征之间的相互作用，分析了股票和违约债券之间内生的金融传染。我们发现，尽管违约事件对股利过程没有因果影响，但股票的均衡价格在违约时经历了跳跃。我们根据投资者偏好和违约强度的周期性特征之间的关系来刻画跳跃的方向。我们对风险的市场价格和投资者财富过程进行了类似的分析，并确定了偏好的异质性如何影响不同投资者承担的违约风险。
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英文标题：
《Default and Systemic Risk in Equilibrium》
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作者：
Agostino Capponi and Martin Larsson
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process, and a defaultable bond, whose prices are determined via equilibrium. We analyze financial contagion arising endogenously between the stock and the defaultable bond via the interplay between equilibrium behavior of investors, risk preferences and cyclicality properties of the default intensity. We find that the equilibrium price of the stock experiences a jump at default, despite that the default event has no causal impact on the dividend process. We characterize the direction of the jump in terms of a relation between investor preferences and the cyclicality properties of the default intensity. We conduct similar analysis for the market price of risk and for the investor wealth process, and determine how heterogeneity of preferences affects the exposure to default carried by different investors.
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PDF链接：
https://arxiv.org/pdf/1108.1133
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