We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our …

rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure … credit risk. …

Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple … comprehensive bank-firm level CDS trading data from the Depository Trust and Clearing Corporation with the German credit register … containing bilateral bank-firm credit exposures. We find that following the Small Bang in the European CDS market, extant credit …

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the … security level and the credit register from Germany. We find asymmetries both cross-sectionally and over time: when banks face … in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that …

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In …

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during …

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit …

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …