The conditional dependence structure of banking sector credit default swap indices

2015 ◽  
Vol 4 (3/4) ◽  
pp. 273
Author(s):  
Rania Zghal ◽  
Ahmed Ghorbel ◽  
Mohamed Triki
Keyword(s):  
Banking Sector ◽  
Credit Default Swap ◽  
Dependence Structure ◽  
Conditional Dependence ◽  
Credit Default ◽  
Default Swap

Eurozone Crisis and Banks’ Creditworthiness: What is New for Credit Default Swap Spread Determinants?

2020 ◽  
pp. 097215091988617
Author(s):  
Alessandra Ortolano ◽  
Eliana Angelini
Keyword(s):  
Banking Sector ◽  
Debt Crisis ◽  
Balance Sheet ◽  
Credit Default Swap ◽  
Generalized Least Squares ◽  
Additional Contribution ◽  
Macroeconomic Factors ◽  
Credit Default ◽  
Default Swap ◽  
Credit Default Swap Spread

The article analyses banks’ credit default swap (CDS) spread determinants, in light of the Eurozone debt crisis. The attention to this aspect is due to the very linkage between banking and sovereign sectors particularly evident during the aforementioned crisis. The study is conducted on a sample of Eurozone banks over the period 2009–2014 through a feasible generalized least squares (FGLS) linear panel data regression. The variables adopted are both balance sheet ratios and macroeconomic factors. The main results confirm the attention pointed at the influence of public conditions to the banking sector, as proved by the significance of variables like the 10-year bond yields or the long-term sovereign rating. It is also interesting to observe the output dealing with public debt, which may suggest opportunities not only of investment but also of speculation for banks on the debt itself. Balance sheet ratios, instead, are not significant. Our study is an additional contribution to the strand of literature that analyses the strong interconnections between the riskiness of banks and the public sector and it is a suggestion to proceed the research with a deeper analysis on systemic risk and its impact on banking CDS spread.

scholarly journals Pengaruh variabel-variabel di sektor riil dan perbankan terhadap Shock Credit Default Swap (CDS) di Indonesia

2019 ◽  
Vol 7 (3) ◽  
pp. 185-204
Author(s):  
Dwi Hastuti ◽  
Muhammad Edhie Purnawan ◽  
Sunargo Sunargo
Keyword(s):  
Banking Sector ◽  
Rapid Development ◽  
Credit Default Swap ◽  
The United States ◽  
Credit Default Swaps ◽  
Advanced Technology ◽  
Global Crisis ◽  
Subprime Mortgage ◽  
Credit Default ◽  
Default Swap

The rapid development of the global financial market today is getting faster and integrated with the existence of advanced technology. Along with economic issues in various worlds, directly related to the global economic crisis that occurred in 2008-2009 greatly influenced the development of credit default swaps (CDS) in developing countries such as Indonesia. The increase in the value of the credit default swap, which carries a high risk of default, will further impact investor confidence and weaken the exchange rate. This is reflected in the shocks of the global crisis and the subprime mortgage prime in the United States. However, the onset of a global crisis can be early with early indicators of crisis from credit default swaps so that crisis management can be carried out faster. The results of this study indicate that the credit default swap is responded to faster by the banking sector than the real sector.  Keywords: Financial crises, Credit Default Swap (CDS), Riil and  banking sector

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap
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