|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id1576143. ; Size: 375K
|
|
Counterparty Risk in Financial Contracts: Should the Insured Worry About the Insurer?
James R. Thompson
University of Waterloo - School of Accounting and Finance; University of Pennsylvania - Finance Department
October 26, 2009
Abstract:
We analyze the effect of counterparty risk on financial insurance contracts, using the case of credit risk transfer in banking. This paper posits a new moral hazard problem on the insurer side of the market, which causes the insured party to be exposed to excessive counterparty risk. We find that this counterparty risk can create an incentive for the insured party to reveal superior information about the likelihood of a claim. In particular, a unique separating equilibrium may exist, even in the absence of any costly signalling device.
Number of Pages in PDF File: 47
Keywords: Counterparty Risk, Moral Hazard, Banking, Credit Derivatives, Insurance
JEL Classification: G21, G22, D82
working papers series
Download This Paper
Date posted: October 6, 2008
; Last revised: May 14, 2011
Suggested CitationThompson, James R., Counterparty Risk in Financial Contracts: Should the Insured Worry About the Insurer? (October 26, 2009). Available at SSRN: http://ssrn.com/abstract=1278084 or http://dx.doi.org/10.2139/ssrn.1278084
|
| Feedback to SSRN (Beta) |
|
|
|
|
|
|
