Credit default swaps and regulatory capital relief

John Thornton; Caterina Di Tommaso

doi:10.1016/j.frl.2018.02.008

Credit default swaps and regulatory capital relief

John Thornton
, Caterina Di Tommaso

Ysgol Busnes Albert Gubay

University of Calabria, Arcavate

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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In a sample of European banks, we find that credit defaults swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	255-260
Cyfnodolyn	Finance Research Letters
Cyfrol	26
Rhif cyhoeddi	9
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/j.frl.2018.02.008
Statws	Cyhoeddwyd - Medi 2018

Mynediad at Ddogfen

10.1016/j.frl.2018.02.008

Dyfynnu hyn

@article{87c94a251e5e429fa7e24fe8a8a29dd2,

title = "Credit default swaps and regulatory capital relief",

abstract = "In a sample of European banks, we find that credit defaults swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.",

author = "John Thornton and \{Di Tommaso\}, Caterina",

year = "2018",

month = sep,

doi = "10.1016/j.frl.2018.02.008",

language = "English",

volume = "26",

pages = "255--260 ",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier Limited",

number = "9",

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AU - Thornton, John

AU - Di Tommaso, Caterina

PY - 2018/9

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AB - In a sample of European banks, we find that credit defaults swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking. Moreover, CDS-using banks generate higher returns on capital from the lower risk weighted assets they hold relative to banks that do not use CDS.

U2 - 10.1016/j.frl.2018.02.008

DO - 10.1016/j.frl.2018.02.008

M3 - Article

SN - 1544-6123

VL - 26

SP - 255

EP - 260

JO - Finance Research Letters

JF - Finance Research Letters

IS - 9

ER -

Credit default swaps and regulatory capital relief

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Mynediad at Ddogfen

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