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Informational efficiency of credit default swap and stock markets : the impact of credit rating announcements

Norden, Lars; Weber, Martin - In: Journal of banking & finance 28 (2004) 11, pp. 2813-2843

Persistent link: https://www.econbiz.de/10002362029

Informational efficiency of credit default swap and stock markets : the impact of credit rating announcements

Norden, Lars; Weber, Martin - 2004

Persistent link: https://www.econbiz.de/10002006040

Credit Default Swaps as Indicators of Bank Financial Distress

Avino, Davide E. - 2019

We examine whether CDS contracts written on individual banks are effective leading indicators of bank financial distress during a period of systemic bank crisis. Changes in CDS spreads are found to yield a robust signal of failure across a set of European and US banks, in keeping with indirect...

Persistent link: https://www.econbiz.de/10012903782

Bail-in or bail-out? : correlation networks to measure the systemic implications of bank resolution

Giudici, Paolo; Parisi, Laura - In: Risks : open access journal 7 (2019) 1/3, pp. 1-25

We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the...

Persistent link: https://www.econbiz.de/10012018723

Government capital injection, credit risk transfer, and bank performance during a financial crisis

Chang, Chuen-Ping; Chen, Shi - In: Economic modelling 53 (2016), pp. 477-486

Persistent link: https://www.econbiz.de/10011641089

The impact of international swap lines on stock returns of banks in emerging markets

Andrieș, Alin Marius; Fischer, Andreas M.; Yeșin, Pınar - 2015

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging … markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central … and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap …

Persistent link: https://www.econbiz.de/10011629985