| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6602 |
| DP6602 Private School Quality in Italy | |
| Giuseppe Bertola; Daniele Checchi; Veruska Oppedisano | |
| 发表日期 | 2007-12-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We examine the implications of optimal credit risk transfer (CRT) for bank-loan monitoring. In the model, monitoring improves expected returns on bank loans, but the loan-portfolio return distribution fails to satisfy the Monotone-Likelihood-Ratio Property (MLRP) because monitoring is most valuable in downturns. We find that CRT enhances loan monitoring and expands financial intermediation, in contrast to the findings of the previous literature, and the reference asset for optimal CRT is the loan portfolio, in line with the preponderance of portfolio products. An important implication of optimal CRT is that it allows maximum capital leverage. The intuition is that the lack of MLRP makes debt financing suboptimal, so the bank is rewarded for good luck rather than for monitoring, and it faces a tighter constraint on outside finance: incentive-based lending capacity, given bank capital, is smaller. Optimal CRT exploits the information conveyed by loan portfolio outcomes to shift income from lucky states to those that are more informative about the monitoring effort. Thus, monitoring incentives are optimized and incentive-based lending capacity is maximized. The role for prudential regulation of banks is examined. |
| 主题 | Financial Economics |
| 关键词 | Credit risk transfer Monitoring incentives Prudential regulation |
| URL | https://cepr.org/publications/dp6602 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535433 |
| 推荐引用方式 GB/T 7714 | Giuseppe Bertola,Daniele Checchi,Veruska Oppedisano. DP6602 Private School Quality in Italy. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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