000	02120nam  2200313za 4500
001	9.849164
003	CaOODSP
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008	171221s2017    oncd   #ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-5/2017-59E-PDF
100	1 |aVan Oordt, Maarten R. C.
245	10|aCredit risk transfer and bank insolvency risk |h[electronic resource] / |cby Maarten R. C. van Oordt.
260	|aOttawa : |bBank of Canada, |c2017.
300	|aii, 42 p. : |bgraphs
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-59
500	|a"December 2017."
504	|aIncludes bibliographical references.
520	|a"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. The results do not rely on banks increasing leverage after the risk transfer, nor on banks taking on new risks, although these could aggravate the effect. High leverage and concentrated business models increase the vulnerability to the mechanism. These results are useful for risk managers and banking regulation. The literature on credit risk transfers and information asymmetries generally tends to advocate the retention of 'information-sensitive' first-loss positions. The present study shows that, under certain conditions, such an approach may harm financial stability, and thus calls for further reflection on the structure of securitization transactions and portfolio insurance"--Abstract, p. ii.
546	|aText in English, abstract in English and French.
692	07|2gccst|aBanks
692	07|2gccst|aCredit
692	07|2gccst|aRisk management
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-59.|w(CaOODSP)9.806221
856	40|qPDF|s521 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-59-eng.pdf