Endogenous credit derivatives and bank behavior
AbstractInstruments 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 InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2007,16.
Date of creation: 2007
Date of revision:
credit risk; credit derivatives; bargaining;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-BAN-2008-02-09 (Banking)
- NEP-CFN-2008-02-09 (Corporate Finance)
- NEP-RMG-2008-02-09 (Risk Management)
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.:
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"Learning, Structural Instability and Present Value Calculations,"
Cambridge Working Papers in Economics
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- Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
- repec:rus:hseeco:318682 is not listed on IDEAS
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