Credit default swaps and regulatory capital relief
Research output: Contribution to journal › Article › peer-review
Electronic versions
DOI
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.
| Original language | English |
|---|---|
| Pages (from-to) | 255-260 |
| Journal | Finance Research Letters |
| Volume | 26 |
| Issue number | 9 |
| DOIs | |
| Publication status | Published - Sept 2018 |