Credit default swap and two-sided moral hazard

被引：3
|
作者：
Gong, Yaxian [1 ]
机构：
[1] Cent Univ Finance & Econ, Sch Econ, Beijing, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2020年 / 34卷
关键词：
Credit default swap; Two-sided moral hazard; Capital requirement; COUNTERPARTY RISK; STOCHASTIC VOLATILITY; EMPIRICAL-ANALYSIS; BOND; SPREADS; OPTIONS; IMPACT;
D O I：
10.1016/j.frl.2019.08.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We consider the moral hazard incentives of the CDS (Credit Default Swap) buyer and seller simultaneously and show that the CDS trading raises both the seller and buyer's moral hazard incentive compared with the situation without the CDS trading. Moreover, we demonstrate that the effects of strengthening the capital requirement with CDS are distinct from the circumstance without the CDS trading, which should be taken into account in the capital regulation.
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页数：6
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