October 2021 issue contents
The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?

Anna Naszodi
Honorary Member of the Centre for Economic and Regional Studies


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 Code: G28, G13.

Full article (PDF, 36 pages, 1,176 kb)