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首页> 外文期刊>Journal of financial economics >Laying off credit risk: Loan sales versus credit default swaps
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Laying off credit risk: Loan sales versus credit default swaps

机译：解雇信用风险：贷款销售与信用违约掉期

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摘要

How do markets for debt cash flow rights, with and without accompanying control rights, affect the efficiency of lending? A bank makes a loan, learns if it needs monitoring, and then decides whether to lay off credit risk. The bank can transfer credit risk by either selling the loan or buying a credit default swap (CDS). With a CDS, the originating bank retains the loan's control rights; with loan sales, control rights pass to the loan buyer. Credit risk transfer leads to excessive monitoring of riskier credits and insufficient monitoring of safer credits. Increases in banks' cost of equity capital exacerbate these effects. For riskier credits, loan sales typically dominate CDS but not for safer credits. Once repeated lending and consequent reputation concerns are modeled, although CDSs remain dominated by loan sales for riskier credits, for safer credits they can dominate loan sales, supporting better monitoring (albeit to a limited extent) while allowing efficient risk sharing. Restrictions on the bank's ability to sell the loan expand the range in which CDSs are used and monitoring is too low.
机译：带有或不带有附带控制权的债务现金流量权市场如何影响贷款效率？银行发放贷款，了解是否需要监控，然后决定是否裁员信贷风险。银行可以通过出售贷款或购买信用违约掉期（CDS）来转移信用风险。有了CDS，发起银行保留贷款的控制权。通过出售贷款，控制权转移给贷款购买者。信用风险转移导致对高风险信用的过度监视和对较安全信用的监视不足。银行股本成本的增加加剧了这些影响。对于较高风险的信用，贷款销售通常在CDS中占主导地位，但对于更安全的信用而言却不是。一旦对重复贷款和随之而来的声誉问题进行了建模，尽管CDS仍然以高风险信贷的贷款销售为主导，但对于更安全的信贷，它们可以支配贷款销售，从而支持更好的监控（尽管在有限的范围内），同时允许有效的风险共享。银行出售贷款能力的限制扩大了CDS的使用范围，并且监控程度过低。

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