A Dynamic Structural Model of a Bank with Correlated Assets

31 Pages Posted: 18 Aug 2014 Last revised: 13 Nov 2017

See all articles by Nikhil Atreya

Nikhil Atreya

Norwegian Center for Taxation at NHH Norwegian School of Economics

Date Written: September 6, 2016

Abstract

I value the liabilities of a bank whose assets consist mainly of loans. Specifically, the bank’s assets consist of multiple correlated securities, which could be some mixture of loans and non-lending assets. My model extends the work of Atreya, Mjøs, and Persson (2015), in which the bank’s assets consist of one loan at a time. Modeling the bank’s assets as a portfolio of loan securities allows me to quantify the effect of intra portfolio correlation on the value of the bank’s liabilities.

Suggested Citation

Atreya, Nikhil, A Dynamic Structural Model of a Bank with Correlated Assets (September 6, 2016). Available at SSRN: https://ssrn.com/abstract=2481608 or http://dx.doi.org/10.2139/ssrn.2481608

Nikhil Atreya (Contact Author)

Norwegian Center for Taxation at NHH Norwegian School of Economics ( email )

Helleveien 30
Bergen, NO-5045
Norway

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
16
Abstract Views
418
PlumX Metrics