TY  - UNPD
A1  - Allen, Franklin
A1  - Carletti, Elena
T1  - Credit risk transfer and contagion
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,25
N2  - 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. Klassifikation: G21, G22
T3  - CFS working paper series - 2005, 25 
KW  - Financial Innovation
KW  - Pareto Inferior
KW  - Banking
KW  - Insurance
KW  - Kreditrisiko
KW  - Bank
KW  - Versicherungswirtschaft
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3055
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-23376
ER  -