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

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  • Naszodi, Anna

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.

Suggested Citation

  • Naszodi, Anna, 2019. "The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?," MPRA Paper 96181, University Library of Munich, Germany, revised 02 Apr 2019.
    • Handle: RePEc:pra:mprapa:96181
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    References listed on IDEAS

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    More about this item

    Keywords

    bank resolution; resolution fund; CDS; Coasian tax; Merton model;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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    This paper has been announced in the following NEP Reports:

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