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Do CDS maturities matter in the evaluation of the information content of regulatory banking stress tests? : evidence from European and US stress tests
Alternative title: | Les maturirés de CDS importent-elles dans l'évaluation du contenu informationnel des tests résistance bancaires? : exemple des tests de résistance Européens et Américains |
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Year of publication: |
2021
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Authors: | Agbodji, Amavi S. S. ; Nys, Emmanuelle ; Sauviat, Alain |
Published in: |
Revue économique : revue bimestrielle. - Paris : Presses de Sciences Po, ISSN 0035-2764, ZDB-ID 208690-6. - Vol. 72.2021, 1, p. 65-102
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Subject: | regulatory stress tests | CDS maturities | market reaction | event study | EU-Staaten | EU countries | Kreditderivat | Credit derivative | USA | United States | Börsenkurs | Share price | Bankenaufsicht | Banking supervision | Ereignisstudie | Event study | Bankrisiko | Bank risk | Kreditrisiko | Credit risk | Stresstest | Stress test | Bankenregulierung | Bank regulation | Ankündigungseffekt | Announcement effect | Informationswert | Information value | Bank |
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