Credit derivatives in banking: Useful tools for managing risk?

• 成果类型: Article
• 署名作者: Duffee, GR; Zhou, CS
• 署名单位: University of California System; University of California Berkeley; University of California System; University of California Riverside; Peking University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00063-0
• 发表日期: 2001
• 页码: 25-54
• 关键词: credit-default swaps; bank loans; loan sales; asymmetric information

摘要

We model the effects on banks of the introduction of a market for credit derivatives; in particular, credit-default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank's financial distress. Because credit derivatives are more flexible at transferring risks than are other, more established tools, such as loan sales without recourse, these instruments make it easier for banks to circumvent the lemons problem caused by banks' superior information about the credit quality of their loans. However, we find that the introduction of a credit-derivatives market is not necessarily desirable because it can cause other markets for loan risk-sharing to break down. (C) 2001 Elsevier Science B.V. All rights reserved.