Name: The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads
Price: 397.00 ZAR
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

The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads

Type

Physical Book

Illustrated by

Penny Hill Press Inc

Publisher

Createspace

Author

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

Language

English

Pages

Format

Paperback

Dimensions

27.9 x 21.6 x 0.1 cm

Weight

0.09 kg.

ISBN13

9781523313013

Synopsis "The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads"

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.

Customers reviews

Have you read this book? Login to add your review.

More customer reviews

0% (0)
0% (0)
0% (0)
0% (0)
0% (0)

Questions and Answers about the Book

Do you have a question about the book? Login to be able to add your own question.

Opinions about Bookdelivery

More customer reviews

The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads - Penny Hill Press Inc ; U. S. Department of Treasury

Synopsis "The Influence of Systemic Importance Indicators on Banks' Credit Default Swap Spreads"

Customers reviews

Frequently Asked Questions about the Book

Is the book original?

In what language is the book written?

What is the format of this book?

Questions and Answers about the Book

Opinions about Bookdelivery