Regulation, Credit Risk Transfer with CDS, and Bank Lending
نویسندگان
چکیده
منابع مشابه
Credit Risk Transfer and Bank Lending
We study the difference between loan sales and credit default swaps. A bank lends money to an entrepreneur to undertake a positive NPV project. After the loan has been made, the bank finds out if the project benefits from monitoring and if it should sell the loan to release regulatory capital. A bank can lay off credit risk by either selling the loan or by buying credit insurance through a cred...
متن کاملCredit Risk Transfer and Bank Competition
We present a banking model with imperfect competition in which borrowers’ access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is private information, banks have an incentive to grant unprofitable loans in order to transfer them to o...
متن کاملBank Lending and Credit Supply Shocks
This paper analyzes the linkages between credit supply conditions and bank lending. Building on the recent work of Gilchrist and Zakraǰsek [2011], we use the excess bond premium—a component of corporate credit spreads designed to measure shifts in the risk attitudes of financial intermediaries—to empirically identify credit supply shocks. Our results indicate that shocks to the excess bond prem...
متن کاملBank Behavior with Access to Credit Risk Transfer Markets
One of the most important recent innovations in financial markets has been the development of credit derivative products that allow banks to more actively manage their credit portfolios than ever before. We analyze the effect that access to these markets has had on the lending behavior of a sample of banks, using a sample of banks that have not accessed these markets as a control group. We find...
متن کاملCredit risk based on firm conduct-performance and bank lending decisions: A capped call approach
This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. When the product price set by the bo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Credit and Capital Markets – Kredit und Kapital
سال: 2013
ISSN: 2199-1227,2199-1235
DOI: 10.3790/ccm.46.4.439