Credit risk transfer and bank competition

Arbeitspapier

We present a banking model with imperfect competition in which borrowers' access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is private information, banks have an incentive to grant unprofitable loans in order to transfer them to other parties, leading to an increase in aggregate risk. Nevertheless, the introduction of CRT generally increases welfare in our setup. However, under private information, higher competition induces an expansion of loans to unprofitable firms, which in the limit offsets the welfare gains from CRT completely.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Preprints of the Max Planck Institute for Research on Collective Goods ; No. 2009,33

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Production, Pricing, and Market Structure; Size Distribution of Firms ; Contingent Pricing; Futures Pricing; option pricing
• Thema: Credit risk transfer ; credit derivatives ; public and private information ; access to credit ; bank competition

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hakenes, Hendrik ; Schnabel, Isabel
• Ereignis: Veröffentlichung
• (wer): Max Planck Institute for Research on Collective Goods
• (wo): Bonn
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/32255
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ