The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?

Anna Naszodi

International Journal of Central Banking, 2021, vol. 17, issue 70, 36

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.

JEL-codes: G13 G28 (search for similar items in EconPapers)
Date: 2021
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Related works:
Working Paper: The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2021:q:4:a:2

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