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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19775| Title: | Endogenous credit derivatives and bank behavior |
| Keywords: | D53 G21 G14 G11 D82 ddc:330 credit risk credit derivatives bargaining Bankrisiko Kreditrisiko Finanzderivat Securitization Bankbilanz Portfolio-Management Verhandlungstheorie Theorie |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account for this fact when analyzing the effects of these instruments on banking. The present paper closes this gap by explicitly modelling the market for credit derivatives and its interaction with banks? loan granting and deposit taking activities. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19775 |
| Other Identifiers: | http://hdl.handle.net/10419/19775 ppn:556816633 RePEc:zbw:bubdp2:6928 |
| Appears in Collections: | EconStor |
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