Professor Loriana Pelizzon from University of Venice is giving a VGSF
research seminar on "Credit Derivatives, Capital Requirements and Opaque
OTC Markets" on November 23 (Friday, 15:30-17:00), at the Institute for
Advanced Studies(HS II) Stumpergasse 56, 1060 Vienna. The paper to be
presented can be downloaded at the VGSF webpage (Activities & Events-->
Research Seminars). The abstract of the paper is attached below.
Loriana will visit BWZ on Nov 23. If you would like to meet her at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract
In this paper we study the optimal design of credit derivative contracts
when
banks have private information over their loan portfolios and are
subject to minimum
regulatory capital requirements. We show that bank regulation affects the
form of the optimal signalling contracts. Moreover we show that the use
of signalling
contracts is more costly when OTC credit derivative markets are opaque.