Crisis, Debt, and Default

1. Front Matter

   Pages I-XIV

   PDF

2. The Dynamics of Currency Crises - Results from Intertemporal Optimization and Viscosity Solutions

   1. Front Matter

      Pages 7-7

      PDF

   2. Introduction

      • Philip Ernstberger

      Pages 9-10

   3. Literature

      • Philip Ernstberger

      Pages 11-12

   4. Model

      • Philip Ernstberger

      Pages 13-37

   5. Conclusion

      • Philip Ernstberger

      Pages 38-42

   6. Appendix

      • Philip Ernstberger

      Pages 43-60

3. The Mispricing of Debt - Influences of Ratings on Coordination

   1. Front Matter

      Pages 63-63

      PDF

   2. Introduction

      • Philip Ernstberger

      Pages 65-68

   3. Model

      • Philip Ernstberger

      Pages 69-82

   4. Pricing Bonds

      • Philip Ernstberger

      Pages 83-87

   5. Conclusion

      • Philip Ernstberger

      Pages 88-88

   6. Appendix

      • Philip Ernstberger

      Pages 89-92

4. Probability of Default and Precision of Information

   1. Front Matter

      Pages 95-95

      PDF

   2. Introduction

      • Philip Ernstberger

      Pages 97-98

   3. Model

      • Philip Ernstberger

      Pages 99-106

   4. Data and Computation

      • Philip Ernstberger

      Pages 107-112

   5. Results and Discussion

      • Philip Ernstberger

      Pages 113-116

   6. Appendix

      • Philip Ernstberger

      Pages 117-136

5. Back Matter

   Pages 139-142

   PDF

Philip Ernstberger analyses in his three essays different topics of financial pathologies. Thereby, changes in fundamentals as well as information are considered as the driving force for the behavior of speculators and investors. The first essay deals with currency crises, in which the central bank, through setting the interest rate, steers the economy and defends against speculators. The second essay examines the effects of a rating and possible biases on the coordination of investors and the pricing of debt. In the third essay the author uses forecasts of default probabilities and implied market default probabilities to infer the weighing of information by investors. 

• Global Games
• Ratings
• Currency Crisis
• Default probability
• Bond issue

• Gutmark, Radtke & Company AG, Frankfurt am Main, Germany

  Philip Ernstberger

Dr. Philip Ernstberger is currently working as a senior consultant in the field of risk modeling, concentrating on stress testing and operational risk methodologies, as well as rating model development and validation. 

Policies and ethics