信用风险的转移和传递外文翻译.doc

外文翻译 原文 Credit risk transfer and transmission Material Source: http://www.eui.eu/Personal/Carletti/JME06-Allen-Carletti.pdf Author: Franklin Allen, Elena Carletti Credit risk transfer has existed for many years, but recent innovations such as credit derivatives have increased the amount that it occurs.Table1(BIS,2003) shows the size of credit risk transfer markets using various instruments from 1995 to 2002.It can be seen that the use of all types of credit risk transfer has increased substantially. The growth has been particularly rapid in credit derivatives and collateralized debt obligations. Studies by the British Bankers Association (BBA,2002) and Fitch Ratings(2003)indicate that banks are the major participants both as buyers and sellers in the markets for credit risk transfer. Overall banks are net buyers and insurance companies are net sellers. We show how financial innovation in the form of new credit risk transfer instruments can lead to beneficial diversification in some circumstances but to a fall in welfare through the creation of contagion in others. This argument is developed in a model with a banking sector and an insurance sector based on Allen and Gale(2005a).Both sectors are competitive and can buy risk-free short and long assets. The difference between the two sectors is that banks can make risky loans to firms, while insurance companies insure another group of firms whose assets may be damaged. Also, banks raise funds in the form of deposits and capital, while insurance companies have as funds only the premiums they receive from the firms they insure. We start by considering the case where all banks face the same demand for liquidity from their depositors. When both sectors are autarkic so they operate without links, banks and insurance companies hold different assets and only the insurance sector is subject to systemic risk. If the return on the risk-free long asset is low compared to the return on the risky loans, banks invest in the short ter