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Are banks different? : evidence form the CDS market

Raunig, Burkhard; Scheicher, Martin - 2009

Persistent link: https://www.econbiz.de/10003810904

The stability of the banking sector and credit default swaps

Heyde, Frank; Neyer, Ulrike - 2007

Persistent link: https://www.econbiz.de/10003379298

The conditional dependence structure of banking sector credit default swap indices

Zghal, Rania; Ghorbel, Ahmed; Triki, Mohamed Wajdi - In: International journal of financial markets and derivatives 4 (2015) 3/4, pp. 273-298

Persistent link: https://www.econbiz.de/10011546011

Interpreting recent changes in the credit spreads of Japanese banks

Pan, Jun; Singleton, Kenneth J. - In: Monetary and economic studies 24 (2006), pp. 129-141

Persistent link: https://www.econbiz.de/10003399003

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

Bank credit risk events and peers' equity value

Fuertes, Ana María; Robles, Maria-Dolores - In: International review of financial analysis 75 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012804022

Testing the Implied Volatility of a Credit Risk of a Bond, an Interest Rate Swap and a Swaption of Well Known Swedish Bank Such As the Nordea Bank

Guirguis, Michel - 2021

In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of … rate swap is linked to an option. The integration of an interest rate swap with an option is known as swaption. The swap … market has no government regulation, there is no clearinghouse and the swap dealer has to price the swap transactions and …

Persistent link: https://www.econbiz.de/10013232494

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

Why do banks use credit default swaps (CDS)? : a systematic review

Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231

Persistent link: https://www.econbiz.de/10014474357

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