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Burghof, Hans-Peter - 2004

Persistent link: https://www.econbiz.de/10001962014

Credit Risk 'Beta' : The Systematic Aspect of Bank Default Risk

Zhao, Lei - 2015

channel of the risk contagion theory by showing that a bank's credit risk Beta (a bank's sensitivity to sovereign risk …Using information in US and European bank and sovereign CDS spreads we study the systematic component of banks' credit … sovereign default risk is a significant factor of bank default risk. During the period 2008-2014, on average US banks are much …

Persistent link: https://www.econbiz.de/10013014596

Credit Risk Transfer and Bank Competition

Hakenes, Hendrik - 2009

We present a banking model with imperfect competition in which borrowers' access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is...

Persistent link: https://www.econbiz.de/10013155071

Hedging of credit derivatives, systematic fluctuation and banking stability in China

Chen, Qi-An; Du, Fangzhou - In: The Singapore economic review : journal of the Economic … 62 (2017) 4, pp. 809-836

Persistent link: https://www.econbiz.de/10011788459

Bank private information in CDS markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...

Persistent link: https://www.econbiz.de/10014315233

Investigation on the credit risk transfer effects on the banking stability and performance

Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

their effects on the bank risk, liquidity and profitability before the crisis event and contributes to the recent scarce … performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit …

Persistent link: https://www.econbiz.de/10013435725