Caglio, Cecilia; Darst, R. Matthew; Parolin, Eric - 2018 - Current version: January 31, 2018
resulting in poorer measures of credit risk. Alternatively, banks may lay off the credit risk of high quality borrowers through … the CDS market to comply with risk-based capital requirements, which does not impact corporate credit risk. We find new … CDS against their borrowers. The results are consistent with banks using CDS to efficiently lay off credit risk rather …