Credit derivatives in banking外文翻译.pdf

Journal of Monetary Economics 48 (2001) 25–54 Credit derivatives in banking: Useful tools for managin grisk? $ Gregory R. Duffeea,*, Chunshen gZhoub a Haas School of Business, University of California, 545 Student Services Building #1900, Berkeley, CA 97420, USA b Guanghua School of Management, Beijing University, China; Anderson School of Management, University of California at Riverside, Riverside, CA 92521, USA Received 3 August 1998; received in revised form 21 September 1999; accepted 13 October 2000 Abstract We model the effects on banks of the introduction of a market for credit derivatives; in particular, credit-default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducin gthe likelihood that defaultin gloans tri er the bank’s financial distress. Because credit derivatives are more flexible at transferrin risks than are other, more established tools, such as loan sales without recourse, these instruments make it easier for banks to circumvent the ‘‘lemons’’ problem caused by banks’ superior information about the credit quality of their loans. However, we find that the introduction of a credit-derivatives market is not necessarily desirable because it can cause other markets for loan risk-sharin gto break down. r 2001 Elsevier Science B.V. All rights reserved. JEL classification: G21; D82 Keywords: Credit-default swaps; Bank loans; Loan sales; Asymmetric information $ We thank George Fenn, Jeremy Stein, staff at J.P. Morgan, an anonymous referee, and participants at Wharton’s Conference on Risk Management in Bankin gfor helpful discussions and comments on earlier drafts. All errors are our own. *Correspondin gauthor. Tel.: