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Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10013222131
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10012898392
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
relief hypotheses, but mixed evidence for the hedging, banking relationship, and private information hypotheses. Banks buy …
Persistent link: https://www.econbiz.de/10013021173
This paper questions the relevance of using only the 5-year maturity CDS spreads to examine the CDS market response to the disclosure of a regulatory stress test results. Since the stress testing exercises are performed on short-term forward-looking stressed scenarios (1 to 3 years), we assume...
Persistent link: https://www.econbiz.de/10013236938
Based on a sample of mid-tier and top-tier internationally active banks with five-year senior CDS spreads, this paper investigates the determinants of CDS spreads and whether CDS spreads can be considered a good proxy of bank risk. The analysis encompasses three time periods: a pre-crisis period...
Persistent link: https://www.econbiz.de/10013133033
banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those …
Persistent link: https://www.econbiz.de/10013105645
The bankruptcy of Lehman Brothers in September 2008 and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (AIG), both of which were heavily involved in the CDS sector, polarised attention towards the CDS activities of the major international banks....
Persistent link: https://www.econbiz.de/10013089063
Large banks derive a funding advantage from being too-big-to-fail, while small banks do not. To estimate the funding advantage we explain the CDS spreads of small banks in six major European countries during the crisis by market fundamentals and bank-specific characteristics. Next, we...
Persistent link: https://www.econbiz.de/10013056481
During the 2007-2009 financial crisis certain events in the American financial system affected financial markets around the globe. Moreover, since the onset of the euro zone sovereign debt crisis, the systemic risk in Europe also appeared to affect the banking sector risk in other regions. While...
Persistent link: https://www.econbiz.de/10013111638