Credit derivatives and bank systemic risk: risk enhancing or reducing?

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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.

Original languageEnglish
Article number101930
Number of pages9
JournalFinance Research Letters
Publication statusPublished - Oct 2021


  • Credit derivatives
  • Systemic risk measures

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