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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
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 … associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection …
Persistent link: https://www.econbiz.de/10011888333
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The European sovereign debt crisis : what have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017
This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...
Persistent link: https://www.econbiz.de/10011588156
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The eurozone financial crisis : role of interdependencies between bank and sovereign risk
Barth, James R.; Prabha, Apanard; Yun, Greg - In: Journal of financial economic policy 4 (2012) 1, pp. 76-97
Persistent link: https://www.econbiz.de/10009547141
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Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper
Buchholz, Manuel; Tonzer, Lena - 2014
Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...
Persistent link: https://www.econbiz.de/10010486057
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Contagion Effects between Sovereign and Bank Credit Spreads – A Global Analysis of Interdependencies between Sovereign and Bank CDS Spreads
Lahmann, Wolfgang - 2012
The interdependencies of sovereign and banking sector credit spreads have been the subject of previous research. Since the 2007-2009 financial crisis the topic has an additional dimension as the size and structure of countries' balance sheets have changed due to various financial sector...
Persistent link: https://www.econbiz.de/10013111635
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011557140
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Financial stability in Europe : banking and sovereign risk
Brůha, Jan; Kočenda, Evžen - 2017
We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector...
Persistent link: https://www.econbiz.de/10011646829
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Structural breaks in the interaction between bank and sovereign default risk
Lovreta, Lidija; López Pascual, Joaquín - In: SERIEs : Journal of the Spanish Economic Association 11 (2020) 4, pp. 531-559
willingness to repay debt and support distressed banks. Finally, we provide evidence that structural dependence in the system …
Persistent link: https://www.econbiz.de/10012389039
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
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 … associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection …
Persistent link: https://www.econbiz.de/10012898392
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V.; Gündüz, Yalin; Johnson, Timothy C. - 2021
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 … associated with protection selling. The findings are driven by the actions of a few non-dealer banks which sold CDS protection …
Persistent link: https://www.econbiz.de/10013222131