【主讲】Zhang Lin 副教授 (西南财经大学)
【主题】Wholesale Funding, Credit Risk and Coordination
【时间】2012年10月22日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼710室
【语言】英文
【摘要】This paper presents a model of bank debt rollover to study how credit risk is affected by wholesale funding, short-term debt financing, and capital market liquidity. In the model, a wholesale financer and a continuum of small creditors independently make roll-over decisions based on private information. In equilibrium, wholesale funding is a double-edged sword. A higher precision in the wholesale creditor's information on the asset quality of the bank reduces credit risk. However, a larger proportion of wholesale funding does not always reduce credit risk. Moreover, a larger proportion of short-term debt financing, as well as a decrease in market liquidity, reduces the willingness of creditors to roll over, and thereby raises credit risk.
