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Credit derivatives: just-in-time provisioning for loan losses

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  • James T. Moser

Abstract

Credit derivative contracts offer a new route for managing counterparty exposures. This article discusses two formats of these contracts. The contracts have potential for providing portfolio managers with a cost effective, just-in-time source of liquidity.

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Bibliographic Info

Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (1998)
Issue (Month): Q IV ()
Pages: 2-11

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Handle: RePEc:fip:fedhep:y:1998:i:qiv:p:2-11:n:v.22no.4

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Keywords: Credit ; Derivative securities ; Contracts ; Risk;

References

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  1. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
  2. Smith, Clifford Jr. & Warner, Jerold B., 1979. "On financial contracting : An analysis of bond covenants," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(2), pages 117-161, June.
  3. Simon Kwan & Randy O'Toole, 1997. "Recent developments in loan loss provisioning at U.S. commercial banks," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul25.
  4. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 51(3), pages 393-414, July.
  5. Eli M. Remolona & William Bassett & In Sun Geoum, 1996. "Risk management by structured derivative product companies," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Apr, pages 17-37.
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Cited by:
  1. Jacques, Kevin T., 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 79-91.
  2. Larry D. Wall & Milind M. Shrikhande, 2000. "Managing the risk of loans with basis risk: sell, hedge, or do nothing?," Working Paper, Federal Reserve Bank of Atlanta 2000-25, Federal Reserve Bank of Atlanta.
  3. Cavallo, Michele & Majnoni, Giovanni, 2001. "Do Banks provision for bad loans in good times? empirical evidence and policy implications," Policy Research Working Paper Series 2619, The World Bank.

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