Naszódi, Anna (2021) The single resolution fund and the credit default swap: what is the coasian fair price of their insurance services? INTERNATIONAL JOURNAL OF CENTRAL BANKING, 17 (4). pp. 49-84. ISSN 1815-4654
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Official URL: https://www.ijcb.org/journal/ijcb21q4a2.htm
Abstract
This paper develops an option-based model to analyze the relationship between two insurances, both providing protection against bank failures. One of these insurances is offered to European banks by the Single Resolution Fund on a compulsory basis in return for their contributions to the Fund, while the other is by the CDS market. The model provides a theoretical framework for testing whether the contributions of banks are fair in the Coasian sense relative to the CDS spreads.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences / társadalomtudományok > HB Economic Theory / közgazdaságtudomány |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 12 Oct 2023 09:50 |
| Last Modified: | 12 Oct 2023 09:50 |
| URI: | http://real.mtak.hu/id/eprint/176564 |
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