The bankruptcy of Lehman Brothers in September 2008 and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (Aig), both of which were heavily involved in the Cds sector, polarised attention towards the Cds activities of the major international banks. Based on a sample of internationally active banks over the period 2005 - March 2010, this paper investigates the relationship between Cds spreads and bank balance sheet ratios. The results of the empirical analysis indicate that bank Cds spreads reflect the risk captured by bank balance sheet ratios.

I CDS spreads come indicatori della rischiosità di una banca? Alcune evidenze empiriche dalla recente crisi finanziaria

Chiaramonte, Laura;
2011

Abstract

The bankruptcy of Lehman Brothers in September 2008 and, shortly afterwards, the near downfall of the insurance conglomerate American International Group (Aig), both of which were heavily involved in the Cds sector, polarised attention towards the Cds activities of the major international banks. Based on a sample of internationally active banks over the period 2005 - March 2010, this paper investigates the relationship between Cds spreads and bank balance sheet ratios. The results of the empirical analysis indicate that bank Cds spreads reflect the risk captured by bank balance sheet ratios.
Credit default swaps
Indici di bilancio
Crisi finanziaria
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/1018058
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