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http://hdl.handle.net/10419/25423
  

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dc.contributor.authorAllen, Franklinen_US
dc.contributor.authorCarletti, Elenaen_US
dc.date.accessioned2006-08-07en_US
dc.date.accessioned2009-07-24T13:47:14Z-
dc.date.available2009-07-24T13:47:14Z-
dc.date.issued2005en_US
dc.identifier.piurn:nbn:de:hebis:30-23376-
dc.identifier.urihttp://hdl.handle.net/10419/25423-
dc.description.abstractSome 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.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2005/25en_US
dc.subject.jelG21en_US
dc.subject.jelG22en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial Innovationen_US
dc.subject.keywordPareto Inferioren_US
dc.subject.keywordBankingen_US
dc.subject.keywordInsuranceen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwFinanzinnovationen_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwTheorieen_US
dc.subject.stwUSAen_US
dc.titleCredit risk transfer and contagionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn504023675en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200525-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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