Credit markets with imperfect information: risk-aversion versus pessimism

DOI10.1016/J.ECONLET.2018.01.029zbMath1397.91585OpenAlexW2790938581MaRDI QIDQ1787423

Jean-Louis Arcand, Stuart McDonald

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.01.029

zbMATH Keywords

risk-aversionrank-dependent expected utilitycredit rationingincreasing risk

Mathematics Subject Classification ID

Utility theory (91B16) Credit risk (91G40)

Cites Work

• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• Theory of capacities
• The Dual Theory of Choice under Risk

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