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dc.contributor.authorAllen, Franklinen
dc.contributor.authorCarletti, Elenaen
dc.date.accessioned2006-08-07-
dc.date.accessioned2009-07-24T13:47:14Z-
dc.date.available2009-07-24T13:47:14Z-
dc.date.issued2005-
dc.identifier.piurn:nbn:de:hebis:30-23376en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2005/25en
dc.subject.jelG21en
dc.subject.jelG22en
dc.subject.ddc330en
dc.subject.keywordFinancial Innovationen
dc.subject.keywordPareto Inferioren
dc.subject.keywordBankingen
dc.subject.keywordInsuranceen
dc.subject.stwKreditrisikoen
dc.subject.stwFinanzinnovationen
dc.subject.stwRisikomanagementen
dc.subject.stwSpillover-Effekten
dc.subject.stwTheorieen
dc.subject.stwUSAen
dc.titleCredit risk transfer and contagion-
dc.typeWorking Paperen
dc.identifier.ppn504023675en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200525en

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