Maarten van Oordt - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:12:25+00:00Credit Risk Transfer and Bank Insolvency Risk
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-59/
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.2017-12-19T14:37:59+00:00enCredit Risk Transfer and Bank Insolvency Risk2017-12-19Credit risk managementFinancial institutionsFinancial stabilityStaff Working Paper 2017-59https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-59.pdfCredit Risk Transfer and Bank Insolvency RiskMaarten van OordtDecember 2017GG2G21G28G3G32