Counterparty Risk in Over-the-Counter Markets
研究银行在场外交易市场中的交易和风险管理决策，考虑了贷款收益风险和交易对手风险，模型预测了银行间信用违约互换市场的结构特征。
Abstract We study trading and risk management decisions of banks in over-the-counter markets, accounting for 2 types of risk: payoff risk from loans and counterparty risk from trading activities. Our model provides empirically supported predictions on the structure of the interbank credit default swap (CDS) market: i) banks with high default probabilities either buy or sell CDS contracts; ii) because of the counterparty risk friction, payoff risk is only partially shared; and iii) safe banks act as intermediaries and help diversify counterparty risk. Banks manage their default probabilities to become creditworthy counterparties, but they do so in a socially inefficient way.