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We show that banks' foreign asset holdings are significant determinants of bank and sovereign CDS premia. Our analysis uses detailed
data on the composition and risk of banks' foreign exposures. For the largest banks, a one standard deviation change in our foreign-
exposure risk measure leads to a 30 basis point change in the CDS premia. Further, we show that sovereign CDS premia are significantly
affected by the foreign exposures of their domestic banks. We quantify how this global spillover effect depends on the size and riskiness of the
sovereign's implicit and explicit guarantees extended to its domestic banking system.

Publikationsoplysninger

OriginalsprogEngelsk
Publikationsdato7 feb. 2014
Antal sider73
StatusUdgivet - 7 feb. 2014
Scopus citationer
BegivenhedConferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014 - Cluj-Napoca , Rumænien

Konference

KonferenceConferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014
LokationUniversitatea Babes-Bolyai
LandRumænien
ByCluj-Napoca
Periode18/08/201422/08/2014
Internetadresse

    Emneord

  • Credit risk, Banks, Sovereign risk

ID: 42651658