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This paper analyzes the interactions between government capital injection and credit risk transfer (CRT) with total return swaps including its impact on lending behavior and default risk of a bank in distress. When the bank acts as a beneficiary in CRT, an increase in the CRT transaction increases the optimal bank interest margin and decreases the default risk in the bank's equity return. When the...
We examine the impacts on bank interest margin, bank default risk, and bank-dependent borrower default risk from changes in the bailout program of government capital injections. This paper focuses on the capped credit risk, the risk of default related to borrower health states. We show that government capital injection helps to reduce default risk for the bank, but indirectly increases the default...
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