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 impairing incentives. We derive implications for the optimal design of capital requirements.
Cerasi, V., Rochet, J. (2008). Solvency regulation and credit risk transfer. MILANO : DIPARTIMENTO DI STATISTICA.
Solvency regulation and credit risk transfer
CERASI, VITTORIA;
2008
Abstract
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 impairing incentives. We derive implications for the optimal design of capital requirements.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
