Are Cds spreads a good proxy of bank risk? Evidence from the recent financial crisis

Barbara Casu and Laura Chiaramonte
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Laura Chiaramonte: Università di Verona

BANCARIA, 2011, vol. 11, 82-98

Abstract: 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. Based on a sample of internationally active banks over the period 2005 - March 2010, this paper investigates the relationship between Cds spreads and bank balance sheet ratios.The results of the empirical analysis indicate that bank Cds spreads reflect the risk captured by bank balance sheet ratios

Keywords: credit default swaps; indici di bilancio; rischiosità bancaria; crisi finanziaria (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:11:y:2011:m:november:p:82-98

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