This paper aims to study a strategic decision of banks in Thailand to signal their types to the market and derive the optimal credit derivatives contract to guarantee their loans and credibly signal their quality under different economic determinants, namely, the maximum credit risk investment constraint, opportunity cost and opaqueness of the credit derivative market.,Contract theory is deployed to derive the expected payoff of different bank types under different economic and financial constraints. Hence, different bank types offer derivatives contracts to signal their loan quality and resell their loans in the secondary loan markets of Thailand.,The optimal derivatives contract is constructed on a basis of asymmetric information when banks have more private information concerning quality of their loans. A digital credit default swap is an optimal derivatives contract to send credible signal when banks are restricted to the maximum investment constraint. Moreover, profit of banks is reduced, as the optimal derivatives contract is more costly when banks are subjected to positive opportunity cost and opacity of the credit derivatives market. These results depict impact of changes of the maximum credit risk investment constraint on Thai credit derivatives market.,The optimal credit derivatives design that signifies bank types and facilitates loan purchase agreement has not been studied in Thai secondary loan markets before. In addition, this study provides insights of banks' strategic decisions to signal their types and transfer risk to risk buyers in Thai markets.

中文翻译：

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信贷衍生产品设计，以促进泰国二级贷款市场上的贷款购买协议

本文旨在研究泰国银行的战略决策，以将其种类向市场发出信号，并得出最优信用衍生品合同以担保其贷款，并在不同的经济决定因素（即最大信用风险投资约束，机会）下可靠地发出其质量信号。信用理论的成本和不透明性。运用合同理论推导了在不同经济和金融约束下不同银行类型的预期收益。因此，不同类型的银行会提供衍生品合同以表示其贷款质量并在泰国的二级贷款市场上转售其贷款。当银行拥有更多有关其贷款质量的私人信息时，最优衍生品合同是基于非对称信息构建的。当银行受最大投资限制时，数字信用违约掉期是一种最佳的衍生合约，可以发出可信的信号。而且，由于当银行承受正机会成本和信用衍生产品市场的不透明性时最优衍生工具合同的成本更高，因此银行的利润减少了。这些结果说明了最大信用风险投资约束的变化对泰国信用衍生品市场的影响。以前尚未在泰国二级贷款市场上研究过代表银行类型并促进贷款购买协议的最优信用衍生品设计。此外，本研究还提供了有关银行战略决策的见解，以表明其类型并将风险转移给泰国市场中的风险购买者。