Sovereign Default and Bank CDS Payments in Europe

Guillaume Vuillemey

Revue d'économie politique, 2014, vol. 124, issue 6, 927-952

Abstract: This paper investigates the redistributive effects of CDS payments in case of a sovereign credit event in Europe. A large number of default scenarios are simulated using bank-level data on European banks? bond and CDS portfolios and the theoretical framework put forth by Vuillemey and Peltonen [2013]. I estimate a probit model to document the determinants of the redistributivity of bank-to-bank CDS payments, according to four criteria. There is no evidence of massive redistributive effects. However, a set of bank-level and country-level characteristics drive the observed payment patterns to a significant extent. Additional results concern the relative magnitude of bank losses on their bond and CDS portfolios.

Keywords: Sovereign default; Credit event; Credit default swap; Bond (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=REDP_246_0927 (application/pdf)
http://www.cairn.info/revue-d-economie-politique-2014-6-page-927.htm (text/html)
free

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:repdal:redp_246_0927

Access Statistics for this article

More articles in Revue d'économie politique from Dalloz
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().