Name: The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads (en Inglés)
Price: 26550.00 CLP
Availability: InStock
Author: Penny Hill Press Inc ; U. S. Department of Treasury
ISBN: 9781523313013

portada The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads (en Inglés)

Formato

Libro Físico

Ilustrado por

Penny Hill Press Inc

Editorial

Createspace Independent Publishing Platform

Autor

Penny Hill Press Inc ; U. S. Department of Treasury

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

27.9 x 21.6 x 0.1 cm

Peso

0.09 kg.

ISBN13

9781523313013

Categorías

Banca

The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads (en Inglés)

Penny Hill Press Inc (Ilustrado por) · Createspace Independent Publishing Platform · Tapa Blanda

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Reseña del libro "The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads (en Inglés)"

This book 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 borrowing costs based on the expectation that governments would consider them "too big to fail." We find a consistent, statistically significant negative relationship between five-year CDS spreads and nine different systemic importance indicators using a generalized least squares (GLS) model. The book finds that banks perceived as too big to fail have CDS spreads 44 to 80 basis points lower than other banks, depending on the asset-size threshold and controls used. Additionally, the study suggests market participants pay more attention to asset size than to a more complex measure, such as designation as a globally systemically important bank (G-SIB), that includes additional factors, such as substitutability and interconnectedness. Lastly, the model suggests that asset size acts as a threshold effect, rather than a continuous effect with the best fitting models using asset-size thresholds of $50 billion to $150 billion.