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)