کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090331 1375627 2011 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks to the financial system at the same time
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Credit risk transfer activities and systemic risk: How banks became less risky individually but posed greater risks to the financial system at the same time
چکیده انگلیسی
A main cause of the crisis of 2007-2009 is the various ways through which banks have transferred credit risk in the financial system. We study the systematic risk of banks before the crisis, using two samples of banks respectively trading Credit Default Swaps (CDS) and issuing Collateralized Loan Obligations (CLOs). After their first usage of either risk transfer method, the share price beta of these banks increases significantly. This suggests the market anticipated the risks arising from these methods, long before the crisis. We additionally separate this beta effect into a volatility and a market correlation component. Quite strikingly, this decomposition shows that the increase in the beta is solely due to an increase in banks' correlations. Thus, while banks may have shed their individual credit risk, they actually posed greater systemic risk. This creates a challenge for financial regulation, which has typically focused on individual institutions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 6, June 2011, Pages 1391-1398
نویسندگان
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