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Endogenous credit derivatives and bank behavior

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  • Pausch, Thilo

Abstract

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account for this fact when analyzing the effects of these instruments on banking. The present paper closes this gap by explicitly modelling the market for credit derivatives and its interaction with banks? loan granting and deposit taking activities. --

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2007,16.

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Date of creation: 2007
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Handle: RePEc:zbw:bubdp2:6928

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Keywords: credit risk; credit derivatives; bargaining;

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  1. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 06.42, Institute of Economic Policy Research (IEPR).
  2. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre.
  3. repec:rus:hseeco:318682 is not listed on IDEAS
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