On the Relationship between Bank CDS Spreads and Balance Sheet Indicators of Bank Risk

Laura Chiaramonte and Barbara Casu

Chapter 5 in Bank Strategy, Governance and Ratings, 2011, pp 94-108 from Palgrave Macmillan

Abstract: Abstract Banks have played a crucial role in the making and spread of the recent financial crisis. Indeed, the default of the investment bank Lehman Brothers in September 2008 sparked the most acute phase of the crisis and had a number of repercussions for the whole system.1 The demise of the American investment bank, and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (AIG), polarized attention towards the CDS activities of the major international banks. CDSs, the most widespread form of credit derivative, have been, according to some, responsible for exacerbating the effects of the recent financial crisis.2

Keywords: Balance Sheet; Credit Risk; Credit Default Swap; Crisis Period; Credit Spread (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-0-230-31386-6_6

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DOI: 10.1057/9780230313866_6

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