A Note on Debt, Assets and Lending Under Default Risk
梳理了违约风险下贷款行为的两种建模思路：一种假设违约概率不受单个贷款人贷款规模影响，适用于小额贷款场景；另一种则考虑贷款规模对违约概率的影响。
The existence of default risk is an important characteristic of most lending operations, and many of the studies dealing with lending behavior incorporate default risk considerations. Two basic approaches to the modeling of such behavior can be identified according to their treatment of default probabilities: the first approach assumes that the likelihood of default is independent of the actions of the lender under consideration, namely, the volume of the loan granted by the current lender has no impact on the default probability (e.g., the works by Yawitz [9], Feder and Just [3], and Bierman and Hass [2]). Such an assumption may be quite appropriate in situations where the volume of operations of a single lender is rather small relative to the size of borrower's assets (or previous debt), as is the case with most bond buyers or with banks who lend to sovereign borrowers.