The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?

Anna Naszodi

MPRA Paper from University Library of Munich, Germany

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.

Keywords: bank resolution; resolution fund; CDS; Coasian tax; Merton model (search for similar items in EconPapers)
JEL-codes: G13 G28 (search for similar items in EconPapers)
Date: 2019-04-02, Revised 2019-04-02
New Economics Papers: this item is included in nep-ias
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Related works:
Journal Article: The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96181

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