HEYDE, FRANK; NEYER, ULRIKE - In: International Review of Finance 10 (2010) s1, pp. 27-61
This paper considers credit default swaps (CDSs) used for the transfer of credit risk within the banking sector. The banks' motive to conclude these CDS contracts is to improve the diversification of their credit risk. It is shown that these CDSs "reduce" the stability of the banking sector in a...