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The Influence of Systemic Importance Indicators on Banks’ Credit Default Swap Spreads
Cetina, Jill - 2016
This paper examines the relationship between banks' observed credit default swap (CDS) spreads and possible measures of systemic importance. We use five-year CDS spreads from Markit with an international sample of 71 banks to investigate whether market participants are giving them a discount on...
Persistent link: https://www.econbiz.de/10013003912
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The influence of systemic importance indicators on banks' credit default swap spreads
Cetina, Jill; Loudis, Bert - In: Journal of risk management in financial institutions 9 (2015/2016) 1, pp. 17-31
Persistent link: https://www.econbiz.de/10011488770
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Do higher capital standards always reduce bank risk? : the impact of the Basel leverage ratio on the U.S. triparty repo market
Allahrakha, Meraj; Cetina, Jill; Munyan, Benjamin - In: Journal of financial intermediation 34 (2018), pp. 3-16
Persistent link: https://www.econbiz.de/10012114205
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Stressed to the core : counterparty concentrations and systemic losses in CDS markets
Cetina, Jill; Paddrik, Mark; Rajan, Sriram - In: Journal of financial stability 35 (2018), pp. 38-52
Persistent link: https://www.econbiz.de/10012156834