Determinants of CDS trading on major banks
Benjamin Hippert (),
André Uhde () and
Sascha Tobias Wengerek ()
Additional contact information
Benjamin Hippert: University of Paderborn
André Uhde: University of Paderborn
Sascha Tobias Wengerek: University of Paderborn
No 51, Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics
Employing credit default swap (CDS) data for a sample of 52 major banks across 18 countries from 2008 to 2016, this paper investigates determinants of the outstanding net notional amount of CDS which are written on banks. We extend the current literature dealing with CDS trading by analyzing further CDS trading-specific, fundamental bank-specific as well as macroeconomic and institutional determinants with a focus on bank CDS trading. We find that, next to well-discussed determinants for corporate firms in the literature, especially a bank's tail risk, capital adequacy, loan portfolio and business model affect a bank's outstanding CDS net notional. This finding indicates that investors in the bank CDS market partly have a recourse to a fundamental analysis for their investment decision. Our study fills an important gap since empirical studies have solely focused on sovereign and corporate CDS yet. In addition, the analysis at hand provides important implications for both academics and practitioners since understanding the trading motives of bank CDS investors gives deeper insights into the still opaque CDS market.
Keywords: banking; outstanding CDS net notional; determinants of bank CDS trading (search for similar items in EconPapers)
JEL-codes: G10 G12 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pdn:dispap:51
Access Statistics for this paper
More papers in Working Papers Dissertations from Paderborn University, Faculty of Business Administration and Economics Contact information at EDIRC.
Bibliographic data for series maintained by WP-WiWi-Info ().