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

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Author Info
James T. Moser

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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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Publisher 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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Related research
Keywords: Credit ; Derivative securities ; Contracts ; Risk;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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, issue Apr, pages 17-37. [Downloadable!]
  2. Lutkepohl, Helmut, 1993. "The," Empirical Economics, Springer, vol. 18(4), pages 729-43.
  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 Jul 25. [Downloadable!]
  4. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. [Downloadable!] (restricted)
  5. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Blackwell Publishing, vol. 51(3), pages 393-414, July. [Downloadable!] (restricted)
  6. Smith, Clifford Jr. & Warner, Jerold B., 1979. "On financial contracting : An analysis of bond covenants," Journal of Financial Economics, Elsevier, vol. 7(2), pages 117-161, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. 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. [Downloadable!]
  2. Larry D. Wall & Milind M. Shrikhande, 2000. "Managing the risk of loans with basis risk: sell, hedge, or do nothing?," Working Paper 2000-25, Federal Reserve Bank of Atlanta. [Downloadable!]
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This page was last updated on 2009-11-18.

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