Using a unique cross-sectional dataset of 381 cash and synthetic securitizations issued by 53 banks from the EU-15 plus Switzerland between 1997 and 2007, this paper provides empirical evidence for time-dependent negative wealth effects of credit risk securitization announcements in European...

How do different types of debt influence firm credit risk? This paper sheds new light on this issue by decomposing the leverage ratio into market debt, bank debt, and trade credit leverage ratios by balance sheet account type classification; and short-term debt and long-term debt leverage ratios...

We empirically examine three channels in the relation between banks' CDS trading and loan sales. The substitute channel predicts a negative relation between CDS hedging and loan sales, and the complementary channel predicts a positive relation. The credit-enhancement channel predicts a positive...

This study aims to provide a theoretical framework to explicate the specific attributes of leveraged buyouts, which may alter the probability of default in contrast to non-private-equity-backed firms. The author hereby suggests controlling for the asset liquidation potential as an additional...

We test five hypotheses on whether banks use CDS to hedge corporate loans, provide credit enhancements, obtain regulatory capital relief, and exploit banking relationship and private information. Using new data that link large banks' CDS positions and syndicated lending on individual firms, we...

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate...

We investigate how the availability of traded credit default swaps (CDSs) affects the referenced firms' voluntary disclosure choices. CDSs enable lenders to hedge their credit risk exposure, weakening their incentives to monitor borrowers. We predict that reduced lender monitoring in turn leads...

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Turkey, characterized by prominent state bank presence, our baseline regression results indicate...

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD. Panel regressions show...

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...