| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11579 |
| 来源ID | Working Paper 11579 |
| How Much Do Banks Use Credit Derivatives to Reduce Risk? | |
| Bernadette A. Minton; René Stulz; Rohan Williamson | |
| 发表日期 | 2005-08-22 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess of one billion dollars. Using the Federal Reserve Bank of Chicago Bank Holding Company Database, we find that in 2003 only 19 large banks out of 345 use credit derivatives. Though few banks use credit derivatives, the assets of these banks represent on average two thirds of the assets of bank holding companies with assets in excess of $1 billion. Few banks are net buyers of credit protection and disclose using credit derivatives to hedge loans. Banks are more likely to be net protection buyers if they engage in asset securitization, originate foreign loans, and have lower capital ratios. The likelihood of a bank being a net protection buyer is positively related to the percentage of commercial and industrial loans in a bank's loan portfolio and negatively or not related to other types of bank loans. The use of credit derivatives by banks is limited because adverse selection and moral hazard problems make the market for credit derivatives illiquid for the typical credit exposures of banks. |
| 主题 | Financial Economics ; Financial Markets ; Financial Institutions ; Microeconomics ; Economics of Information |
| URL | https://www.nber.org/papers/w11579 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569223 |
| 推荐引用方式 GB/T 7714 | Bernadette A. Minton,René Stulz,Rohan Williamson. How Much Do Banks Use Credit Derivatives to Reduce Risk?. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11579.pdf（186KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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