文章基本信息

标题：The effect of credit derivatives usage on the risk of european banks
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作者：Luís Ignacio Rodríguez Gil ; Luís Otero González ; Sara Cantorna Agra 等
期刊名称：Revista de Economía Mundial
印刷版ISSN：1576-0162
出版年度：2015
期号：40
页码：197-219
语种：English
出版社：Sociedad de Economía Mundial
摘要：It was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our purpose is to analyze whether the risk taken by European banks is affected by the use of credit derivatives. There are very few empirical works regarding this subjec and, in particular, in the European banking sector. We use as measures of risk the Z-score and other proxies of credit risk like the risk-weighted assets and non-performing loans (NPL) ratio. In summary, our results show that European banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those who opt for a speculative position test negative. Accordingly and based on these data, the cause of the current crisis in Europe could not be directly attributed to the use of credit derivatives.
其他摘要：It was generally believed by top regulators that credit derivatives make banks sounder. After the international financial crisis, the positive view of the role of credit risk transfer has changed and credit derivatives have been blamed as one of the responsible of the subprime credit crisis. Our purpose is to analyze whether the risk taken by European banks is affected by the use of credit derivatives. There are very few empirical works regarding this subjec and, in particular, in the European banking sector. We use as measures of risk the Z-score and other proxies of credit risk like the risk-weighted assets and non-performing loans (NPL) ratio. In summary, our results show that European banks that use credit derivatives for hedging experience an improvement in their level of financial stability, while those who opt for a speculative position test negative. Accordingly and based on these data, the cause of the current crisis in Europe could not be directly attributed to the use of credit derivatives.
关键词：Banking Sector; Credit Derivatives; Credit Default Swaps; Bank Risk; Z-Score; Financial Credit Crisis.
其他关键词：Banking Sector; Credit Derivatives; Credit Default Swaps; Bank Risk; Z-Score; Financial Credit Crisis.