Credit default swaps and risk-shifting

被引：14
|
作者：
Campello, Murillo [2 ,3 ]
Matta, Rafael [1 ]
机构：
[1] Univ Amsterdam, NL-1012 WX Amsterdam, Netherlands
[2] Cornell Univ, Ithaca, NY 14853 USA
[3] NBER, Cambridge, MA 02138 USA
来源：
ECONOMICS LETTERS | 2012年 / 117卷 / 03期
关键词：
CDS; Risk-shifting; Financing efficiency; Regulation;
D O I：
10.1016/j.econlet.2012.08.013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Credit default swaps (CDSs) are thought to ease borrowing by protecting lenders against default. This paper develops a model of the demand for CDS when borrowers choose the riskiness of investment and verification is imperfect. The model shows that CDSs may lead to risk-shifting, increasing the probability of default. Our model provides new insights into the role of CDS during the recent financial crisis. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：639 / 641
页数：3
相关论文
共 50 条
  • [1] Credit default swaps and systemic risk
    Cont, Rama
    Minca, Andreea
    [J]. ANNALS OF OPERATIONS RESEARCH, 2016, 247 (02) : 523 - 547
  • [2] Credit default swaps and systemic risk
    Rama Cont
    Andreea Minca
    [J]. Annals of Operations Research, 2016, 247 : 523 - 547
  • [3] Credit default swaps and firm risk
    Lin, Hai
    Nguyen, Binh Hoang
    Wang, Junbo
    Zhang, Cheng
    [J]. JOURNAL OF FUTURES MARKETS, 2023, 43 (11) : 1668 - 1692
  • [4] Credit Risk and IFRS: The Case of Credit Default Swaps
    Bhat, Gauri
    Callen, Jeffrey
    Segal, Dan
    [J]. JOURNAL OF ACCOUNTING AUDITING AND FINANCE, 2014, 29 (02): : 129 - 162
  • [5] Credit default swaps and their application in the credit risk management
    Mikocziova, Jana
    [J]. RIZENI A MODELOVANI FINANCNICH RIZIK, 2008, : 148 - 153
  • [6] Credit Default Swaps networks and systemic risk
    Puliga, Michelangelo
    Caldarelli, Guido
    Battiston, Stefano
    [J]. SCIENTIFIC REPORTS, 2014, 4
  • [7] Credit Default Swaps networks and systemic risk
    Michelangelo Puliga
    Guido Caldarelli
    Stefano Battiston
    [J]. Scientific Reports, 4
  • [8] Credit Default Swaps
    Gillin, Kent
    [J]. FORTUNE, 2008, 158 (09) : 14 - 14
  • [9] Credit Default Swaps and the Credit Crisis
    Stulz, Rene M.
    [J]. JOURNAL OF ECONOMIC PERSPECTIVES, 2010, 24 (01): : 73 - 92
  • [10] CREDIT DEFAULT SWAPS AND THE CREDIT CRISIS
    Shtults, Rene M.
    [J]. EKONOMICHESKAYA POLITIKA, 2010, (06): : 157 - +
12345