Abstract
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.
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.
| Originalsprog | Engelsk |
|---|---|
| Publikationsdato | 7 feb. 2014 |
| Antal sider | 73 |
| Status | Udgivet - 7 feb. 2014 |
| Begivenhed | Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014 - Universitatea Babes-Bolyai, Cluj-Napoca , Rumænien Varighed: 18 aug. 2014 → 22 aug. 2014 http://www.econ.ubbcluj.ro/ermas2014/ |
Konference
| Konference | Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014 |
|---|---|
| Lokation | Universitatea Babes-Bolyai |
| Land/Område | Rumænien |
| By | Cluj-Napoca |
| Periode | 18/08/2014 → 22/08/2014 |
| Internetadresse |
Emneord
- Credit risk
- Banks
- Sovereign risk