Credit Risk Transfer and Contagion

By Franklin Allen, Elena Carletti. 2006

427 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fe2616510354ce9c5016ec34043ed09fa5173d1e

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Citations in the corpus

Mark-to-Market Accounting and Liquidity Pricing (2008, methodology): “Allen and Carletti (2006) analyze how financial innovation can create contagion across sectors and lower welfare relative to the autarky solution.”
Credit Default Swaps: A Survey (2014, background): “Allen and Carletti [2006] show that credit risk transfer can be beneficial when banks face systematic demand for liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in the inter-bank market, credit risk transfer can be detrimental to welfare. Further, such hedging via”
The “Big C”: identifying and mitigating contagion (2012, background): “Allen and Carletti (2006) show how the creation of new financial instruments—such as to transfer credit risk—can aggravate contagion through portfolio investors.”
An Overview of the Crisis: Causes, Consequences, and Solutions (2010, neutral): “Allen and Carletti (2008b) suggest that when market prices and model based prices diverge significantly (more than 2% say), financial institutions should publish both.”
Incentives to Innovate and Financial Crises (2012, neutral): “, Allen and Carletti, 2006, 2008; Allen and Gale, 2000a, 2000b; Boyd, Kwak, and Smith, 2005), including papers that have shown theoretically that financial crises can be optimal. For example, Allen and Gale (1998) show that bank runs can facilitate the attainment of a first-best equilibrium with eff”
Transmission channels of systemic risk and contagion in the European financial network (2015, neutral): “Allen and Gale (2004), Leitner (2005), Allen and Carletti (2006) and Gai and Kappadia (2010) find that banking systems respond differently in systemic risk due to changes on the degree of interconnectedness, idiosyncratic and aggregate liquidity shocks in the interbank market.”
Crisis Resolution and Bank Liquidity (2011, neutral): “1 See Allen and Carletti (2008) for a recent overview of the issues.”
Credit Default Swaps and the Empty Creditor Problem (2011, neutral): “Allen and Carletti(2006) show that credit risk transfer can lead to contagion and contribute to financial crises. Stulz(2010) discusses the role of CDS during the credit crisis of 2007–2009. Another, related literature deals with the decoupling of voting and cash-flow rights in common equity through”