In diesem Beitrag wird die Einsatzmöglichkeit eines Kreditderivats vom Typ einer Kreditoption für eine Bank untersucht. Das Management des Kreditrisikos erfährt in jüngerer Zeit besondere Aufmerksamkeit. Gestiegenen Kreditausfallrisiken begegnen Kreditinstitute mehr und mehr durch die...

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes. Regulation is found to induce...

With banking sectors worldwide still suffering from the effects of the financial crisis, public discussion of plans to place toxic assets in one or more bad banks has gained steam in recent weeks. The following paper presents a plan how governments can efficiently relieve ailing banks from toxic...

Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers' risk of default and a fixed cost to create each contract offered by...

Collateral is a widely used, but not well understood, debt-contracting feature. Two broad strands of theoretical literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems between borrowers and lenders. However, the extant...

Credit rating agencies have been under the spotlight since the beginning of the current financial crisis. They failed in their assessment of US residential mortgage- based securities in the mid-2000s. Nevertheless, investors generally consider credit ratings useful to help form their views on...

Conventional banking practices do not easily accommodate the financial needs of poor persons. Group-lending, on the other hand, has found several advantages in the context of poor borrowers with no collateral to offer. An important advantage is that the bank’s losses due to unsuccessful...

In a paper in this journal, Schnabel and Roumi (1989) assert that if uninsured debt is risky, a levered firm takes a casualty insurance with a positive safety loading if, and only if, the amount of debt is sufficiently high. This note shows that, in marked contrast to this assertion, the correct...

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...