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EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25423
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Allen, Franklin | | en_US |
| dc.contributor.author | | Carletti, Elena | | en_US |
| dc.date.accessioned | | 2006-08-07 | | en_US |
| dc.date.accessioned | | 2009-07-24T13:47:14Z | | - |
| dc.date.available | | 2009-07-24T13:47:14Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25423 | | - |
| dc.description.abstract | | Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be undesirable if they increase the risk of financial crises. Using a model with banking and insurance sectors, we show that credit risk transfer can be beneficial when banks face uniform demand for liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, credit risk transfer can be detrimental to welfare. It can lead to contagion between the two sectors and increase the risk of crises. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Financial Studies Frankfurt, Main | | en_US |
| dc.relation.ispartofseries | | CFS Working Paper 2005/25 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.jel | | G22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Financial Innovation | | en_US |
| dc.subject.keyword | | Pareto Inferior | | en_US |
| dc.subject.keyword | | Banking | | en_US |
| dc.subject.keyword | | Insurance | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Finanzinnovation | | en_US |
| dc.subject.stw | | Risikomanagement | | en_US |
| dc.subject.stw | | Spillover-Effekt | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | Credit risk transfer and contagion | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 504023675 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:cfswop:200525 | | - |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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