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Credit Risk Transfer Instruments

2013
Credit risk management is a major activity of each financial institution. Since the credit risk is most important cause of the bankruptcy of many banks, it`s been given a special attention. In addition to identifying, locating, measuring, as the final activity in тхе credit risk management arises hedging credit risk.
Milosevic, Milos, Milosevic, Milos
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Optimal credit risk transfer, monitored finance, and banks [PDF]

Journal of Financial Intermediation, 2008
We examine the implications of optimal credit risk transfer (CRT) for bank-loan monitoring, and the incentives for banks to engage in optimal CRT. In our model, properly designed CRT instruments allow banks to insure themselves against loan losses precisely in those states that signal monitoring.
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Credit risk transfer and financial sector stability

Journal of Financial Stability, 2006
Abstract In this paper, we study credit risk transfer (CRT) in an economy with endogenous financing (by both banks and non-bank institutions). Our analysis suggests that the incentive of banks to transfer credit risk is aligned with the regulatory objective of improving stability, and so the recent development of credit derivative instruments is to ...
Wagner, W.B., Marsh, I.
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Credit Risk Transfer and Crunches: Global Finance Victorious or Vanquished?

New Political Economy, 2010
Rather than in terms of the inevitable demise of a destabilising process of speculation, this article explores the ‘credit crunch’ as a window on the fabrication, and measure of the proportions of a political shift driven by market actors and financial innovation.
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Credit Risk Transfer with Single-Name Credit Default Swaps

2017
Credit default swaps (CDSs) are the primary type of derivatives contracts with which market participants can protect themselves against the risk of a default by one or more underlying reference entities. We explore the recent market activity in CDSs, as well as the mechanics of CDSs, including documentation, triggering credit events on underlying ...
Christopher L. Culp, Andria van der Merwe, Bettina J. Stärkle   +2 more
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Regulation, credit risk transfer, and bank lending [PDF]

, 2011
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes.
Thilo Pausch, Peter Welzel
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The implications of credit risk transfer for the credit channel

International Journal of Monetary Economics and Finance, 2013
Growth in new instruments designed to trade credit risk has significant implications for the conduct of monetary policy through banks. This paper considers the effects of three credit risk transfer instruments - securitised assets, secondary market syndicated loans, and credit derivatives - on the credit channel of the transmission mechanism.
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Credit risk transfer in SME loan guarantee networks

Journal of Systems Science and Complexity, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leng, Aolin, Xing, Guangyuan, Fan, Weiguo   +2 more
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Solvency regulation and credit risk transfer [PDF]

, 2008
This paper analyzes the optimality of credit risk transfer (CRT) in banking. In a model where banks' main activity is to monitor loans, we show that a combination of CRT instruments, loan sales and credit derivatives, might be optimal to insure banks against shocks and to optimally redeploy capital when new investment opportunities arise, without ...
CERASI, VITTORIA, Rochet, JC
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Credit risk transfer [PDF]

, 2003
Executive summary Techniques for transferring credit risk, such as financial guarantees and credit insurance, have been a long-standing feature of financial markets. In the past few years, however, the range of credit risk transfer (CRT) instruments and the circumstances in which they are used have widened considerably.
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