TY - JOUR
T1 - Credit derivatives and bank systemic risk
T2 - risk enhancing or reducing?
AU - Halili, Alba
AU - Fenech, Jean-Pierre
AU - Contessi, Silvio
PY - 2021/10
Y1 - 2021/10
N2 - This study investigates the impact of credit derivative usage on U.S. bank holding companies' systemic risk from 2006 to 2018. The results show that an increase in bank holdings of credit derivatives subsequently increases their systemic risk. This is robust to a number of controls. Such findings have policy implications for regulators and market participants, as larger banks are in a higher risk category, potentially causing further disruption to financial markets.
AB - This study investigates the impact of credit derivative usage on U.S. bank holding companies' systemic risk from 2006 to 2018. The results show that an increase in bank holdings of credit derivatives subsequently increases their systemic risk. This is robust to a number of controls. Such findings have policy implications for regulators and market participants, as larger banks are in a higher risk category, potentially causing further disruption to financial markets.
KW - Credit derivatives
KW - Systemic risk measures
UR - http://www.scopus.com/inward/record.url?scp=85099532349&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2021.101930
DO - 10.1016/j.frl.2021.101930
M3 - Article
AN - SCOPUS:85099532349
SN - 1544-6123
VL - 42
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101930
ER -